Well, because I can not get 100% of what your talking about. I will answer all of the three things you might be talking about.
First off I am going to assume you are using MSSQL with visual studio, or MSSQL Express that most of the Visual studios have built into it.
Authentication to connect to a database from a visual studio application be it VB or C+ is outlined in the web.config page with a simple connection string, like so:
<add connectionstring="Server=SQLServer;Database=DatabaseName;UserID=DatabaseUser;Password=DatabasePassword" name="ConnectionStringName" providername="System.Data.SqlClient" />
Now once you have done this you can start referring to the connection string in either code or the front end wizards (The wizard select your connection string name from the drop down list in "Data sources"
As for in code (I will assume you are using vb.net) you can call it like so
Dim cnn As New Odbc.OdbcConnection
cnn.ConnectionString = ConfigurationManager.ConnectionStrings("ConnectionStringName").ConnectionString
If of course you are speaking about enabled .Net authentication to your application (Which is also controlled via the web.config) I would suggest reading up a little on the authentication levels of ASP apps, the visual studio wizard can create these authentication databases for you which you will learn from investigating the .Net user auth.
Zac