We have our SQL server configured to only allow Windows accounts (i.e. not mixed). However, in some cases we are connecting from non-domain boxes and we want to specify a domain account to connect ...

If you just want to get going with a code-first database, you don't even need to define a connection string -- just write your objects.

Next, we'll need to establish a connection to the SQL server. Below I'm defining a SQL connection string and passing that as an argument to the SqlConnection object.