A typical connection string should looks like:
<configuration>
<appSettings>
<add key="Main.ConnectionString" value="data source=..."/>
</appSettings>
</configuration>
What template set (Adapter, SelfServicing) are you using? If you are using Adapter, you should assign an adapter instance to the LinqMetaData variable:
Dim adapter as new DataAccesAdater()
Dim db as new CommonDB.Linq.LinqMetaData(adapter)