You are not telling it what driver to use. It doesn't know how to connect.
First you need to decide if you are using ODBC or ADO.NET to talk to the database.
Then you need to install the
ODBC[
^] or
ADO.NET[
^] driver.
Then you need to follow the instructions that come with the driver to connect. Typically something like:
var conn = new MySqlConnection("my connection string");