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The C# Station ADO.NET Tutorial
http://www.csharp-station.com/Tutorials/AdoDotNet/Lesson02.aspx
Listing 1. Using a SqlConnection
using System;
using System.Data;
using System.Data.SqlClient;
/// <summary>
/// Demonstrates how to work with SqlConnection objects
/// </summary>
class SqlConnectionDemo
{
    static void Main()
    {
        // 1. Instantiate the connection
        SqlConnection conn = new SqlConnection(
            "Data Source=(local);Initial Catalog=Northwind;Integrated Security=SSPI");
        SqlDataReader rdr = null;
        try
        {
            // 2. Open the connection
            conn.Open();
            // 3. Pass the connection to a command object
            SqlCommand cmd = new SqlCommand("select * from Customers", conn);
            //
            // 4. Use the connection
            //
            // get query results
            rdr = cmd.ExecuteReader();
            // print the CustomerID of each record
            while (rdr.Read())
            {
                Console.WriteLine(rdr[0]);
            }
        }
        finally
        {
            // close the reader
            if (rdr != null)
            {
                rdr.Close();
            }
            // 5. Close the connection
            if (conn != null)
            {
                conn.Close();
            }
        }
    }
}