string mybd_host = ".";
string mybd_name = "Awr2015";
string mybd_user = "";
string mybd_pass = "";
string connetionString = "Data Source=" + mybd_host + ";Initial Catalog=" + mybd_name + ";User ID=" + mybd_user + ";Password=" + mybd_pass + "";
SqlConnection cnn = new SqlConnection(connetionString);

try
{
    try
    {
        Console.WriteLine("Connection Open !");
        cnn.Open();//вот тут ошибка
        cnn.Close();
    }
    catch (Exception exp)
    {
        Console.WriteLine("connection:" + exp);
    }
}
catch (Exception ex)
{
    Console.WriteLine("Can not open connection:" + ex);//mysql
}