Assuming that you already have a config file with the connection string value set,
SqlConnection con = new SqlConnection();
con.ConnectionString = ConfigurationManager.ConnectionStrings ["MyConnectionString"].ToString();
DataTable dt2 = new DataTable();
SqlCommand cmd = new SqlCommand("dbo.SP_GetData", con);
cmd.CommandType = CommandType.StoredProcedure;
SqlDataAdapter adapter = new SqlDataAdapter(cmd);
adapter.Fill(dt2);
Now dt2 contains the data from the Db.
Your config file shouldbe like this
<configuration>
<connectionStrings>
<add name="MyConnectionString" connectionString="Data Source=xxxx;Initial Catalog=xxxxx;Integrated Security=True;";/>
</connectionStrings>
</configuration>