When you add a LINQ to SQL dataclasses(.dbml file) to the project the connection string is automatically configured for you when your dragging the tables. However in practice you need to take the connection string settings outside the datacontext file and put it the config file. This is useful particularly when you've got the project on different servers (dev, staging).
To do this all you need to is:
1- Open the .dbml file in the designer, right click on somewhere on the blank screen (not on the objects/tables) to open the properties window and update the connection to look like this:
2- Create a partial class for your dataContext and only a constructor in it:
3- Update the connection string section in the config file with the new key:
For more info please refer to the following links: