Hello karlfloh,
as izaychick63 already stated starting with KNIME 4.1 we include the necessary dlls for the new database framework. We now also have a detailed section in the database documentation that describes how to connect to a SQL Server database using native authentication. So you no longer need to copy the sqljdbc_auth.dll file into the Windows folder but it also doesn’t hurt 
You say that the DB Connector node works but not the Microsoft SQL Server Connector node. So this indicates to a problem with the generated JDBC URL. The Microsoft SQL Server Connector node uses the following JDBC URL template:
jdbc:sqlserver://<host>:<port>;databaseName=[database]
where host will be replaced by the value you enter in the hostname field, port will be the value from the port field and database will be the value from the database name field but is optional. For further details about the JDBC URL template see the documentation.
Bye
Tobias