A string de conexo com o banco de dados SQL Server deve ser definida de acordo com a instncia do SQL Server instalada no seu computador.

No SQL Server 2005 ou 2008 utilize:

	"data source=.\SQLEXPRESS;Integrated Security=SSPI;AttachDBFilename=|DataDirectory|Security.mdf;"
ou

	"data source=(local);Integrated Security=SSPI;Initial Catalog=Security;"

ou ainda:

	"data source=.\SQLEXPRESS;Integrated Security=SSPI;Initial Catalog=Security;"

Exemplo:

string strConexao = "data source=(local);Integrated Security=SSPI;Initial Catalog=Security;";

using (SqlConnection conn = new SqlConnection(strConexao))
{
	//restante do cdigo;
}

Obs: Para criar o banco de dados Security, acesse o menu Iniciar >> Todos os programas >> Microsoft Visual Studio 2010 >> 
Visual Studio Tools >> Visual Studio Command Prompt (2010). 

aspnet_regsql.exe -S (local) -E -d Security -A all

Ou 

aspnet_regsql.exe -S .\SQLEXPRESS -E -d Security -A all


Obs: As Web Parts utilizam o SQL Server 2005 ou 2008.