If you've never used the UDL trick before, make sure you take the time to play with it, it's pretty cool and will save you a lot of time making connection strings. I still use it for even my Sql Server connection strings in .NET (just remove the Provider=SQLOLEDB.1 clausefrom the connection  string).

Instructions for the implementing the trick can be found on the msdn site.

Before you get started, however, you need to make sure that you're set up to see file extensions... or it will be a quick (and fruitless ride). Just open your Windows Explorer > Tools > Folder Options, then check the view tab, and make sure your Advanced options look like those below.

While the UDL trick is a good way to create connection strings, I've also found it to be VERY helpful in debugging scenarios. There's nothing as frustrating as moving code to a new server, or moving a database to a new server and trying to start your app to get the dreaded: "SQL Server does not exist or access denied." message. Quickly firing up a new .UDL on the client machine and testing the connection is a NICE way to see if 1) MDAC is even on the server/client (the trick doesn't work otherwise) 2) your connection info is still correct. If the UDL won't connect you, then a firewall, a different context, something is stopping your code from working. (No more banging around in your web.config or whatnot swearing that it 'works' when in actuality.. it doesn't.