When you start to play with the Entity Framework you will soon come up with the need to store your connection in a common place.  To do this you will need to with provide the connection string to the Entity Object Context or provide the Entity Connection.  I prefer to us the Entity Connection as you can explicity define each section of the connection.

C#

VB.NET

and if you need to pass in the UserID and Password

For some more help on setting this up check out Ricka on Dynamic Data