You write connection string in the web.Config file. Like

<connectionStrings>

<add name="nwindCnn" connectionString="Data Source=Test\SQLEXPRESS;Initial Catalog=NWind;Integrated Security=True"/>

connectionStrings>

 In program you can use like this

Dim cnn As SqlConnection

cnn = New SqlConnection()

cnn.ConnectionString = ConfigurationManager.ConnectionStrings("nwindCnn").ConnectionString

 

You can write any number connection strings by giving proper names.