So... open the connection:
using(SqlConnection conn = new SqlConnection(connStr))
using(SqlCommand cmd = new SqlCommand(Sql, conn))
{
conn.Open();
using(SqlDataReader DR = cmd.ExecuteReader())
{
// consume data
}
}
You might also want to look into tools that help with ADO.NET, such as "dapper" - for example, if I assume that this data is a string, we could shorten all of this to just:
using(SqlConnection conn = new SqlConnection(connStr))
{
var days = conn.Query<string>(
"Select deliveryDayNo from standardOrderDetails order by deliveryDayNo"
).ToList();
// now add the items from "days"
}