I deleted the app.config file generated, and instantiate the data adapter with this
// Constring, keep open, catalog name usage, catalog name to use if set to force
new DatabaseSpecific.DataAccessAdapter(conString, true, SD.LLBLGen.Pro.ORMSupportClasses.CatalogNameUsage.Clear, "");
Constring includes username, password and database to use.
I'm sure there are better ways =)
EDIT: Help file, "Using generated code -> Adapter -> Connection strings" or "Using generated code -> Application configuration through .config files" for more options