To retrieve the connection string from the appSettings element with a key named "ConnectionString" in you web.config file use:
C#
string connectionString = ConfigurationSettings.AppSettings["ConnectionString"];
VB.NET
Dim strConnectionString As String = ConfigurationSettings.AppSettings.Get("ConnectionS tring")
Then just use the connection string variable as you normally would with ADO.NET objects:
OleDbConnection cn = new OleDbConnection(connectString);
The ConfigurationSettings class is in the System.Configuration namespace so be sure you have the proper using or Imports directive.
HTH,
Bob