Hi:
You can create a setting to store the information, which will place it in an app.config file in your project.
To add the setting, go to Project/ ProjectName Properties in VSTA. Select the settings tab. If you have no current settings configured, there will be link in the center of the page you can click to create the app.config file. Now you can give your setting a name, select a type (string for a connection string), decide if the scope is user or application (for a connection string, you'll probably want application), and then type your connection string into the value area. You won't need quotes around it, having already stated that it is a string.
Now, in your code, when you create your new SqlConnection, you can do this:
SqlConnection
sqlConn = new SqlConnection(ProjectName.Properties.Settings.Default.SQLConnectionString);
Your app.config file will be located in the folder with your C# project.