Conectar con SQL

Imports System.Data.SqlClient

Dim conex As String = "Data Source=SQLEXPRESS;Network Library=DBMSSOCN;Initial Catalog=BD;User ID=invitado;password=p455w0rd;Persist Security Info=False;Max Pool Size=4000;Enlist=true;Pooling=true"
Dim con As New SqlConnection(conex)

        Try
            con.Open()
            ' Insertar código aquí.
        Catch ex As Exception
            MessageBox.Show("Error!")
        Finally
            con.Close()
        End Try

'Try
'Catch SqlEx As SqlException
'End Try

fuente1: https://msdn.microsoft.com/es-cl/library/cc437979(v=vs.71).aspx fuente2: https://msdn.microsoft.com/en-us/library/system.data.sqlclient.sqlexception(v=vs.110).aspx