If you run your SQL Server on a non standard port you may have experienced issues when installing SharePoint on this server. The standard psconfig utility has a field for the server name, if you give it a comma and then the port your SQL box is running on it will fail. The psconfig wizard doesn't understand the port number format. This isn't just related to SharePoint, I had to use this same trick when I was doing a Great Plains install.
The trick is to create an Alias, first run 'cliconfg', you should be presented with the following UI:
Select the Alias tab, then Add - you should then see the above dialog. Now you just need to enter the server alias, I normally just make this the server name, but your circumstances may be different, then unselect the 'Dynamically determine port' checkbox so you can enter the port number that your SQL Server runs on.
Once the Alias is setup you can refer to the SQL Server by the server alias that you have setup here.