Firstly I'd suggest usiong a verbatim string literal so you don't have to double-up your slashes.

Secondly, if you want to access a database in the current user's My Documents folder then I suggest that you don't hard-code it:
C# Code:
  1. SqlConnection thisConnection = new SqlConnection(string.Format(@"Data Source=.\SQLEXPRESS;AttachDbFilename={0}\GymData3.mdf;Integrated Security=TrueUser Instance=True",
  2.                                                                Environment.GetFolderPath(Environment.SpecialFolder.MyDocuments)));