There are two ways to easily create a valid connection string
a.1) Click on the small button in the object inspector right of the connection string property.
a.2) Create your connection, test it, press OK
or
b.1) Create an empty file e.g. 'TEST.UDL'. Use Notepad.EXE for example.
b.2) Double click on the file in the explorer. This will open the connection string editor
b.3) Create your connection, test it. Press OK
b.4) Your file now contains the connection string which you may copy&past in your application
Another benefit of the second method is that you can even use the file as a connection string. This makes life alot easier if you have to configure your connection from time to time (Just double click on the UDL if you have to change the connection properties). Here's how a valid connection string for a file looks like:
FILE NAME=<Full path to your UDL file>