SQL Connection Question

I am new here, so please bare with me.  I understand what is going on in the code below.  My problem, is how do I or WHERE do I set the connection to SQL, as far as my Server and such?  This is an example from Microsoft.  I am so used to hard coding the information as in VB6, and getting used to this new stuff now.  This is to fill a datagrid

    Private Sub Page_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
        Dim DS As DataSet
        Dim MyConnection As SqlConnection
        Dim MyCommand As SqlDataAdapter

        MyConnection = New SqlConnection(System.Configuration.ConfigurationSettings.AppSettings("BenchmarkingString"))
        MyCommand = New SqlDataAdapter("select * from Benchmarking", MyConnection)

        DS = New DataSet
        MyCommand.Fill(DS, "Authors")

        BenchmarkingDataGrid.DataSource = DS.Tables("Benchmarking").DefaultView
        BenchmarkingDataGrid.DataBind()

    End Sub