Hi ,
if you want to set connectionstring during ur setup,then first of when u make setup asking about ur connection,save it to registery.When ur application will run.it will read a connection from registery.
for read and write data to registery use SaveSetting and GetSetting Property.
in ur application when it will read data from registery and save to ur connection string use following.
My.Settings.ConnectionStringName=Strconnection