Southern writes:  

Connection strings can be a bit obscure and is not often defined in a consistent way. This article straighten things out and sheds some light on how connection strings are used to connect an application to a data source.

Introduction

When your application connects to a database or a data file you let ADO or ADO.Net utilize a provider to do the job for you. The connection string contains the information that the provider need to know to be able to establish a connection to the database or the data file. Because there are different providers and each providers have multiple ways to make a connection there are many different ways to write a connection string. It's like the address when sending a regular mail. Depending on the origin and destination and who is going to make the transport you need to write down the address in different ways.

more: Connection Strings

see also: The Connection String Reference