Does SQL Server has an external log file or internal table for attempted connections, or is that kind of info put somewhere in the Windows Event Log?
You can enable connection logging. For SQL Server 2008, you can enable Login Auditing. In SQL Server Management Studio, open SQL Server Properties > Security > Login Auditing select "Both failed and successful logins".
Make sure to restart the SQL Server service.
Once you've done that, connection attempts should be logged into SQL's error log. The physical logs location can be determined here.