Nice question Mr. Karthikeyan but I am afraid you can't retrieve data without even connecting to a DB until and unless you are a magician..lol..:P:P
the next part of ur question has probabale answers.
Connected architecture refers to being connected to the server evry single instant of time to retrieve real time data and stats...for ex:In a railway reservation system, you would have to be connected to the server everytime to knw the status or your own booking and stuffs....
Coming to .NET POV, open the connection, work and process ur dataset and then close the connection.
In case of disconnected architecture, you dont nee to be connected to the server evrytime.Open the connection,retreive the dataset from the server,close the connection,work on the datset and process it....Its just like a local copy on ur system..
And btw..there are numerou articles on MSDN or even here to make use of..
Hope it helps...