in code behind give namespace
using System.data.sqlclient;
and write connections string in web.config to which 
database to connect

in web.config file
<configuration>

    <appSettings>
		<add key="SqlCon" value="Data 
Source=winserver;initial 
Catalog=cieflnew;uid=cieflnew;pwd=cieflnew; Connection 
Lifetime=0;Max Pool Size=10000;Min Pool Size=0;Connection 
Reset=false;Pooling=true;Persist Security Info=False"/>
	</appSettings>
  <system.web>
and in code behind
Sql cmd= new Sql command(Query here,con);
cmd.executenonquery();

hi,

  I have MySQL so how to connect to dotnet

MySQLConnection myConn;
myConn = new MySQLConnection(new
MySQLConnectionString("localhost", "databse", "User",
"password").AsString);
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SQl Server
namespace->Using System .data.Sqlclient;

SqlConnectin con=new SqlConnection
("Servername="";uid="";pwd="";database="")

Ms-Access:

Namespace->using system.data.oledb;

oledbconnection con=new oledb connection
("Servername="";uid="";pwd="";database="")