using System.Data;            // Use ADO.NET namespace
using System.Data.SqlClient; 

 SqlConnection thisConnection = new SqlConnection(
            @"Data Source=GY; Initial Catalog=northwind;uid=sa;password=datadog"); //先建立连接
 thisConnection.Open();//打开连接
         SqlCommand thisCommand = thisConnection.CreateCommand();//直接指定conn的command
也可以这样        //  SqlCommand cmd = new SqlCommand();
       //  cmd.Connection = thisConnection;
cmmand的sql命令        
thisCommand.CommandText = "SELECT CustomerID, CompanyName from Customer";
         SqlDataReader thisReader = thisCommand.ExecuteReader();//sqldatareader不可以用new 必须直接与command关联
//用reader读出表
         while (thisReader.Read())
         {
            // Output ID and name columns
            Console.WriteLine("\t{0}\t{1}",
               thisReader["CustomerID"], thisReader["CompanyName"]);
         // Close reader 用完要关闭
         thisReader.Close();

         // Close connection
         thisConnection.Close ()

http://www.cnblogs.com/redcar/archive/2006/11/23/569859.html