As for your code, yeah it looks good.  The only thing being that the default BusinessObject.DataSourceKey is "" (string.Empty), so if you only have one database connection, you can just supply string.Empty as the DataSourceKey when you create the Db2DataSourceItem and not worry about retrieving it from the config anywhere.  If you have more than one connection string, then you'll certainly need to come up with some unique DataSourceKeys.  And the DataSourceKey is ususally something that the developer specifies; it's independent of the connection string and only used as a dictionary key so that objects know which DbDataSourceItem to use to talk to the database, so you certainly don't have to keep it in a config file anywhere.

As for the QueryInformation object, you only have to use one of those if you need to a provider independent operation.  In fact, you will soon reach the limits of it because it's designed to be a simple tool to allow the business objects to perform simple operations without needing to know their underlying database type (i.e. fill by primary key, insert, update, delete, etc.).  The QueryInformation doesn't support much more than single table retrieval (no joins or tests on other table keys or anything).  So, in the cases when you are trying to run an advanced query (most of the time), you'll want to manually create a DB2Command object and use the business object's FillDataTable(DbCommand) method (don't worry about setting the connection on the command, just create it blank, because it will be set before the command is executed).

Using the DbDataSourceItem directly is perfectly fine, we show a few things that you can use it for during the training courses, so creating that mySqlh object is good.

So, strictly speaking, there's nothing you're doing wrong.  I'm not sure what might be causing the exception because I can't find the message anywhere.

Public Overrides Function CreateBlankDbConnection() As System.Data.Common.DbConnection
    Dim conn As DbConnection = Me._Factory.CreateConnection()
    conn.ConnectionString = Me.ConnectionString
    Return conn
End Function

All it does is create the connection and set the connection string.  The exception is being thrown by the middle line that is attempting to set the connection string.  So, the only thing I can think of that might throw an argument exception would be the connection string itself.  But, as you said, you're using it to retrieve data elsewhere.  So...

What you might try is replicating this code right here.  Use the same factory that you passed when you created the Db2DataSourceItem and create a connection and then try to set the connection string to the DataLayer.DataSources[""].ConnectionString and see if it throws an error.