In some tools (eg: Data Pump or ADO/ODBC Explorer), you can create an ADO Connection String, this string holds the different options and database details for the ADO driver to connect to a datasource.
Because every driver is different, the options are different as well. But, there are also common properties and whenever you can build a connection string, Database Workbench will show you a wizard to do it.
There are two ways to connect to an ADO datasource, by using a Microsoft Data Link File (.udl, more or less a previously created connection string saved to a file) or by building the string at that very moment.
The Connection String dialog
If you press Build, the following wizard is shown.
Connection String Wizard, select a Provider
At the first page, you have to select the type of data source and the provider (= driver) you will be using for the data. What is shown if you click Next depends on the driver and is different for each driver.
Below is a couple of examples for different drivers (click to expand).
If you are satisfied with your settings, click OK to accept the connection string and continue.