Normally developers would like to create App.config for connection string. Somehow it is uneasy to remember all the tag. So what they will do is to the will create a Application Configuration File in Visual Studio and get the 3 following lines.
Unfortunately, this is still quite far from putting just a connection string. The easier way is to use EntLib Config .NET 4. The Enterprise Library 5 download is only 11 MB and it does not take out a lot of your hard disk space after installed.
The video below shows how to create App.config with connection string using EntLib Config .NET 4.