The connection object manages the application’s connection to the database. It allows a data adapter to move data in and out of a DataSet.
The different flavors of connection object (OleDbConnection, SqlConnection, OdbcConnection, OracleConnection, and so on) provide roughly the same features, but there are some differences. Check the online help to see if a particular property, method, or event is supported by one of the flavors. The web page http://msdn.microsoft.com/32c5dh3b.aspx provides links to pages that explain how to connect to SQL Server, OLE DB, ODBC, and Oracle data sources. Other links lead to information on the SqlConnection, OleDbConnection, and OdbcConnection classes.
If you will be working extensively with a particular type of database (for example, SQL Server), you should also review the features provided by its type of connection object to see if it has special features for that type of database.
Some connection objects can work with more than one type of database. For example, the OleDbConnection object works with any database that has an OLE DB (Object Linking and Embedding Database) provider. Similarly the OdbcConnection object works with databases that have ODBC (Open Database Connectivity) providers such as MySQL.
Generally, connections that work with a specific kind of database (such as SqlConnection and OracleConnection) give better performance. If you think you might later need to change databases, you can minimize the amount of work ...