Did your windows form app connect to DB or you have local (or maybe remote) server with ASP.NET site on it, and want to users to change it's connString? Please specify where did your connection string is locate in web.config or maybe somewhere else?
create a simple form with an ok/cancel button and a property grid in it. give it an sqlconnectionbuilder object, and pass in your connection string (or the one you want the user to edit), and assign that to the property grid's SelectedObject property. this will let the user design the connection string without having to know all the connection string ins and outs. from there get the sql connection string builder's connection string property (after the user presses the ok button & is done editing the connection string).
create a string user setting in your windows application. this will allow you to load and save the setting. from there, anywhere in your application you can call