How do you connect Visual Basic with SQL server database?

It depends on what version of VB you are using, and what version of SQL Server you're attempting to connect to. Also, there are several ways to connect from each version of VB to each version of SQL Server (ODBC, ADODB, DSN-less, etc.). Since your question does not provide enough specifics to answer adequately, I refer you to the "Connection Strings" link at the bottom of this page (or you may just type in www.connectionstrings.com in your browser).