One of the guys on the course came up with this usefull tip.
If you want to quickly get a connection string:
Create a new empty text document.
Rename it to have a .UDL suffix
When you double click it now you will get a standard data connection dialogue.
Once you set your connection and save it with “Ok” open the file in notepad and there is the connection string.
EDIT: Thanks to Christian Wade for the tip