Three things to remember here:
– You need a WDM Enterprise edition if the DB is on a different server
– You cannot install the DB remotely
– You have to run the WDM installer on the DB server, enter the Enterprise key, select only to install the DB and then start the installer on the WDM server itself.
If the latter isn’t an option for you, then you can download the WDM troubleshooting guide on this site and follow the steps to manually install the DB.
CG