Unless its a Database file (Access or Excel) you must connect through a SERVER to your database. For example, if i take an .MDF file for one of my Sql Server databases and try to connect directly to it, I can't do it as my SQL server defines my users and permissions.
There may be a work around to this, but I do not know of one.
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Read this if you want to know how to get a correct reply for your question:
http://www.catb.org/~esr/faqs/smart-questions.html
^^Took that from planoie's profile^^
^^Modified text taken from gbianchi profile^^
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Professional Search Engine Optimization with ASP.NET
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