I guess that you have a database file that is not attached in your SQL Server. What you could do is:
- stop the Application Pool
- move the Database.mdf file (and maybe the and Database.ldf file as well when it is there) from your App_Data directory to your SQL Server data directory (or directories when you have data files and log files on different hard disks)
- attach the database in SQL Server Management Studio
- adjust the connection string
- Start the application pool
Or start the installation from scratch - create a database before you start, assign the (dbowner) permissions to the app pool and select the database in the installation process (or use nvQuickSite).