That functionality is actually built into windows. You can create an empty file with a ".udl" extension and then pass its path to Process.Start. This will open Data Link Properties dialogue for that file. The user can then configure the connection as desired and the result will be saved to the file when they press OK. The file is just a text file so you can open it in Notepad to see what it contains. Once the user has saved their desired settings you can read the file using a StreamReader and copy the connection string it contains to the ConnectionString property of an appropriate Connection object. If you want to preset some of the parts of the connection string then you can write something to the file before calling Process.Start. Here's some example code to get you started:
VB Code:
Dim tempPath As String = IO.Path.Combine(Application.StartupPath, "temp.udl")
'Create an empty file.
Dim sw As New IO.StreamWriter(tempPath)
sw.Close()
'Open the Data Link dialogue.
Dim p As Process = Process.Start(tempPath)
'Wait for the user to finish setting the properties.
p.WaitForExit()
'Show the contents of the file.
MessageBox.Show(My.Computer.FileSystem.ReadAllText(tempPath))
'Delete the file.
IO.File.Delete(tempPath)