class SqlDataContext : ISqlDataContext {

    private readonly SqlConnection _connection;

    public SqlDataContext(string connectionString)
    {
        _connection = CreateConnection(connectionString);
    }

    public IDataReader ExecuteReader(string storedProcedureName, ICollection<SqlParameter> parameters)
    {
       // execute the command here using the _connection private field.
       // This is where your conn.Open() and "do stuff" happens.
    }

    private SqlConnection CreateConnection(string connectionString)
    {
        if (string.IsNullOrEmpty(connectionString))
        {
            throw new ArgumentNullException("connectionString");
        }

        return new SqlConnection(connectionString);
    }
}

interface ISqlDataContext
{
    IDataReader ExecuteReader(string storedProcedureName, ICollection<SqlParameter> parameters);
}