The connection string required to connect to a database server may be created during design time or run time. There are circumstances under which you may want to store the connection string entirely outside the application, however. In those instances, Microsoft Data Link files are useful, as this article will explain.
Creating Data Link (UDL) Files in Delphi - Section 2: Connecting with SQL Server Drivers (Page 3 of 5 )
However, if you want to connect to the database with native drivers instead of ODBC drivers you can do so by selecting the Microsoft OLE DB Provider for SQL Server Drivers in the Provider tab of the Data Link Property dialog box. Click next; the connection tabsheet now asks you to enter the SQL Server name instead of DataSource Name. The drop-down box lists all the servers available on the network. Select the one you want to work with, and then chose the type of authentication the server should make. Enter the user name and password and check allow saving.
Note: Any password you save will be stored as plain text and thus readable to anyone who has access to the file, so if you are concerned about security you might as well not save the password enter it every time you connect.
Once the correct user credentials have been supplied you can select one from the list of available databases on the server as listed in the drop-down box or you can also specify an existing file by selecting "Attach a database file as a database name" option.
Click on Test Connection to verify that the connection was successful. You can now use the Data Link file to connect to the database server.