The exact string you use depends upon how you connect to the SQL server back end (the Provider) and how the security/authentication is set up on SQL server. Below is a helpful resource on connection strings with examples (it's geared toward SQL Server 2005, but a lot of it applies to later versions) and other information:
http://www.connectionstrings.com/sql-server-2005
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Just my $0.02 from over here in the cheap seats of the peanut gallery - please adjust for inflation and/or your local currency.