Cannot get SQLCMD to work regardless of what I try
SQLCMD, when invoked without specifying a server name, tries to connect to a default instance on the local machine. If you don't have one, it displays the first error you are getting. Use the -S parameter to specify a server name. 

To use Windows authentication, use the -E flag and you don't need to provide username or password. Example: SQLCMD -Smyserver\myinstance -E

To use SQL Server authentication, use the -U and -P parameters to supply credentials. Example: SQLCMD -Smyserver\myinstance -UsomeUser -PhisPassword

If you specify -U you cannot use a windows user name: this is for SQL Server logins. If you want to impersonate a different windows user, start a command prompt impersonating that user first.

Example:


Open command prompt
Type runas /USER:domain\username cmd
Type the password for your user
Run SQLCMD


You can achieve the same result right clicking the link for cmd and selecting "Run as different user..."