Veja este artigo / tutorial que explica como ativar a auditoria de login no SQL Server 2000 e 2005:
Quem está logando como o login sa no SQL Server?
The native audit level configuration is a simple configuration that can help to determine if the sa login is used in the SQL Server instance. What this configuration does is records all of the successful (or failed or both) logins into a particular SQL Server instance. You will not know the host name, application, etc. However, this configuration will enable you to determine if the sa login is being used in the first place. Once you have this information, then you can dig deeper with SQL Server Profiler outlined below.
Para o SQL Server 2008, há um novo recurso "Auditoria do SQL Server" . O seguinte artigo explica como logins autid incluindo scripts de exemplo: Auditoria do SQL Server no SQL Server 2008 .