The above answer only adds the sqljdbc4.jar to the local repository. As a result, when creating the final project jar for distribution, sqljdbc4 will again be missing as was indicated in the comment by @Tony regarding runtime error.
Microsoft (and Oracle and other third party providers) restrict the distribution of their software as per the ENU/EULA. Therefore those software modules do not get added in Maven produced jars for distribution. There are hacks to get around it (such as providing the location of the 3rd party jar file at runtime), but as a developer you must be careful about violating the licensing.
A better approach for jdbc connectors/drivers is to use jTDS, which is compatible to most DBMS's, more reliable, faster (as per benchmarks), and distributed under GNU license. It will make your life much easier to use this than trying to pound the square peg into the round hole following any of the other techniques above.