Here's another area where the documentation that comes with Visual Studio 2005 and the suff online as MSDN make a simple topic complicated.

To add a connection string to the App.Config:

<?xml version="1.0" encoding="utf-8" ?>
<configuration>
   <connectionStrings>
      <add name="aConnectionString" 
      connectionString="Data Source=localhost;Initial Catalog=Northwind;Integrated Security=True" 
      providerName="System.Data.SqlClient"/>
   </connectionStrings>
</configuration>
 
To retrieve it in your program:
 
1.  Add a reference to System.Configuration (no this is not automagically included).
 
2.  Add a using statement:
   
   using System.Configuration;
   
   Optionally add another using statement for the sqlclient:
 
   using System.Data.SqlClient;
 
3.  Use this code to grab the connection string:
 
   string cnString = ConfigurationManager.ConnectionStrings["aConnectionString"].ConnectionString;
   SqlConnection cn = new SqlConnection(cnString);