I believe you can get the connection string via the DataSources collection (assuming you aren't using EnterpriseServer) via:
DataLayer.DataSources("").ConnectionString
Just to make sure I understand though, you are expecting a data set back right? So more than one data table? Some folks more conversant with ADO will have to handle that situation. When I've needed to get multiple data tables back, I've used the static FillMultipleDataTables() command in BusinessLayer. You might have other requirements, like relationships etc., so that might not work for you.