string strConn = "Data Source=(local);Initial Catalog=pubs;Integrated Security=SSPI;";
SqlConnection conn = new SqlConnection(strConn);
conn.Open();

// Do something here

conn.Close();

public void ConnectSample()
{
   string strConn = "Data Source=(local);Initial Catalog=pubs;Integrated Security=SSPI;";

   SqlConnection conn = null;

   try
   {
      conn = new SqlConnection(strConn);
      conn.Open();
      // Do something here
   }
   catch (Exception ex)
   {
      throw;
   }
   finally
   {
      if (conn != null)
      {
         conn.Close();
      }
   }
}