The property .ConnectionString must always be set if connecting directly to a database.
It must be a valid OLE DB provider connection string.
Examples
Consult these web sites for an extensive coverage of OleDb connection strings.
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/cpref/html/frlrfSystemDataOleDbOleDbConnectionClassConnectionStringTopic.asp
http://www.connectionstrings.com/
http://www.able-consulting.com/MDAC/ADO/Connection/OLEDB_Providers.htm
Internally, AxpDataGrid use the .NET class OleDbConnection. This connection is created and available through the property AxConnection.Connection. It is created when the AxpDataGrid.ConnectionString is set.