A typical web.config file in v2.0 could have the following section which is placed directly under the root <configuration> section.

<connectionStrings>
    <remove name="LocalSqlServer" />
    <add name="LocalSqlServer" connectionString="data source=.\SQLEXPRESS;Integrated Security=SSPI;AttachDBFilename=|DataDirectory|aspnetdb.mdf;User Instance=true" providerName="System.Data.SqlClient"/>
    <add name="MainConnStr" connectionString="data source=.\SQLEXPRESS;Integrated Security=SSPI;AttachDBFilename=|DataDirectory|main.mdf;User Instance=true" providerName="System.Data.SqlClient"/>
</connectionStrings>

connectionStrings>
    <remove name="LocalSqlServer" />
    <add name="LocalSqlServer" connectionString="data source=.\SQLEXPRESS;Integrated Security=SSPI;AttachDBFilename=|DataDirectory|aspnetdb.mdf;User Instance=true" providerName="System.Data.SqlClient"/>
    <add name="MainConnStr" connectionString="data source=.\SQLEXPRESS;Integrated Security=SSPI;AttachDBFilename=|DataDirectory|main.mdf;User Instance=true" providerName="System.Data.SqlClient"/>
</connectionStrings>

You can reference this directly from code using:

[C#]
string connStr = ConfigurationManager.ConnectionStrings["MainConnStr"].ConnectionString;

[VB]
Dim connStr As String = ConfigurationManager.ConnectionStrings("MainConnStr").ConnectionString

Note that the namespace for this is System.Configuration so for a console application the full namespace is required.

Or you can reference this declaratively within the ConnectionString property of a SqlDataSource:

<asp:SqlDataSource ID="SqlDataSource1" runat="server"
  ConnectionString="<%$ ConnectionStrings:MainConnStr %>"
  SelectCommand="SELECT [au_id], [au_lname], [au_fname], [state] FROM [authors]" />