I'm not absolutely sure what your problem is with doing this, but I'm guessing that you need to store the connection string once the user has got it working, and re-establish that string when the form loads. Fortunately, this is pretty simple: just use the Settings facility.
There are two ways you might want to do this: store the textbox values that make up the string (so you can load them into the textboxes if the user needs to change it) or store the whole string - most systems work on the whole string as the individual parts are not normally changed often. The principle is the same either way.
Open your project in VS, and open the Properties drop down in the Solution Explorer.
Double click the "Settings.settings" line.
In the resulting page, add a suitable name in the "Name" column ("strConnect" for example) and leave everything else as "String", "User" and blank (unless you want a default value, in which case replace the blank with the connection string.
Close the page (it may ask you to save, if it does, do so.
In your form Load event you can know access the string via
string strConnect = Properties.Settings.Default.strConnect;
You use the same principle to store the various parts, with a separate setting for each.
If this isn't what you are trying to do, then you need to explain in better detail.