VB2010: Connect to SQL Server 2008
Imports System.Data
Imports System.Data.SqlClient

Public Class Form1

    Dim SQLConn As SqlClient.SqlConnection

    Private Sub Button1_Click(sender As System.Object, e As System.EventArgs) Handles Button1.Click
        Dim i As Integer
        Dim connectionstring As String
        connectionstring = "Data Source=MySQLServerMyInstance;Database=MyDatabase;Integrated Security=true;"

        Try
            SQLConn = New SqlConnection(connectionstring)
            SQLConn.Open()
        Catch ex As Exception
            MsgBox(ex.Message & " Error Connecting to database!", MsgBoxStyle.Critical)
            Exit Sub
        End Try
        Dim da As SqlDataAdapter
        da = New SqlDataAdapter("SELECT * from DR_Users", SQLConn)
        Dim dt As DataTable
        da.Fill(dt)
        For i = 0 To dt.Rows.Count - 1
            Dim dr As DataRow = dt.Rows(i)
            Debug.Print(dr.Item("UserId").ToString)
        Next

    End Sub
End Class

Public Property ServerName() As String
  Public Property DatabaseName() As String
  Public Property Login() As String
  Public Property Password() As String

  Private Function SqlConn(Optional timeout As Integer = 0) As String
    ' Initialize the connection string builder for the
    ' underlying provider.
    Dim sqlBuilder As New SqlClient.SqlConnectionStringBuilder()

    ' Set the properties for the data source.
    sqlBuilder.DataSource = _serverName
    sqlBuilder.InitialCatalog = _databaseName
    sqlBuilder.IntegratedSecurity = False
    sqlBuilder.MultipleActiveResultSets = True 'to avoid exception if a query uses anothe rquery internal

    sqlBuilder.UserID = _Login
    sqlBuilder.Password = _Password
    If timeout > 0 Then
      sqlBuilder.ConnectTimeout = timeout
    End If

    Return sqlBuilder.ToString
  End Function

Using sqlConn As New SqlClient.SqlConnection(sqlConnString)
  sqlConn.Open()
      [...]
  sqlConn.Close()
End Using