Your getting closer
The connection to the StrataFrame db is used only at design time and
only by the tools within VS, such as the BO Mapper, the security dialog, the localization dialog and by the SF addin within VS. Thus you
never need to set that connection within the application itself. You set that connection on the SF menu within VS. The connection to the SF database is
only needed on the development machine, never on any machine running your app.
Within the application, you setup any connections you need (as many as needed...I'm using two, one for security and one for the app data, I believe I remember seeing posts of users using many connections, one db for each region supported by the db and the connections can be to different kinds of databases, I.e. you could connect to a SQL Server, Oracle and Access all in the same app). For each connection you have (roughly) two choices: use the connection manager or set the connection manually using the DataLayer.DataSources() collection directly. The difference is that if you use the connection manager, the user needs to know how to log onto the database. This could be fine in many circumstances and not fine in many others.
If you use the DataLayer.DataSources() collection, the connection information can be set automatically and the user need not know anything about the connection or the database. Again, there are times when this is needed and times when it isn't.
For your initial learning, I'd skip this part, just use the connection manager (which is the code that is enabled within SetDataSources in AppMain when a SF project is used) and work through some of the other stuff first. Get a bit more comfortable with how BOs work, with data binding and with some of the SF controls. Then come back to this. Keep the questions coming too...it really helps as you work through each of these concepts.