You can access the Connection String page from the General page of the Report DataSource smart panel by clicking the Connection String icon under Connection.

Enter a connection string in the provided text box, or use the Connection Properties page to create one for SQL, OleDB, or Oracle data types. Here is the sample connection string for the Access NorthWind database in the C directory:
data source=nwind.mdb;persist security info=False;location=c:\;provider=Microsoft.Jet.OLEDB.4.0;integrated security=SSPI;