Try doing it this way, it's always worked for me, simpler too as you can create a new SQL connection object directly from a connection string by just specifying the string as a parameter, like this:
string connectionString = @"Server=server\instance;Database=Northwind;Integrated Security=True";
SqlConnection dataConnection = new SqlConnection(connectionString);
try
{
dataConnection.Open();
}
catch (sqlexception e)
{
Messagebox.Show("Error");
}