I don't use PHP, but here's a shot in the dark that might just be your issue...
The SqlConnection class resides in the namespace System.Data.SqlClient. Perhaps you need to specify that when you call DOTNET. For example, you might try some of these:
$sqlcon = new DOTNET("System.Data", "System.Data.SqlClient.SqlConnection");
$sqlcon = new DOTNET("System.Data", "SqlClient.SqlConnection");
$sqlcon = new DOTNET("System.Data.SqlConnection", "SqlConnection");
Seems to me it would have no other way of knowing where SqlConnection is. There could, in fact, be two SqlConnection classes in different namespaces and it wouldn't know which to pick.
Alternatively, create a wrapper class for SqlConnection and build your own DLL that you can import. That might get complicated though... for example, you may have to put the DLL into the GAC.