The New Connection dialog allows setting up connections to new data sources:

 

 

In the Provider Type box you may select the type of the provider (SQL Server, Oracle, Access, etc) and the location of the data source. User credentials are also supported if the database requires authentication.

 

To test the connection press the Test Connection button. The Advanced button allows changing further options like the connection name, connection string and data provider:

 

 

Note: See Connecting to a MySQL Server for an example of using custom connection strings.