1st question is the SQL database compact? Are you really sure you are suppose to be using SqlCeConnection rather than SqlConnection etc. Thats not causing the error by the way but if it's wrong it wont work anyhow :-)
Next you need to go back and read up again on string basics
Finally if you really do need to use SqlCeConnection then at least look at the Microsoft sample at the bottom of the help on the API call
HINT HERE SCROLL TO BOTTOM =>
http://msdn.microsoft.com/en-us/library/system.data.sqlserverce.sqlceconnection.connectionstring%28v=vs.100%29.aspx[
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