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A very simple example showing two methods of opening a connection at runtime.
The example uses DAConnectionManager.Connections[0] as the connection it opens. Examining its ConnectionString value via the Object Inspector, you will see that it is set to:
ADO?AuxDriver=SQLOLEDB.1;Server=localhost;Database=Northwind;Integrated Security=SSPI;
Modify it as needed to access a different database. See FAQ37 for examples of connection strings.