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Take a “Connect Activity” . Click on Configure Connection .
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It pops up a connection wizard . Click on Connection Wizard .
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Click on above options redirects you another window . Select Microsoft SQL Server option . Click on OK.
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Provide the server name ,provide the appropriate credentials (windows/sql authentication)
Once authenticated this displays the list of database . Select the Database and click on “Test Connection”.
For more details , please refer the below link :