First off, if I understand correctly the connection you are adding is going to be used to query a non-Sitefinity database. That being the case, it is not necessary to store the connection string in the dataconfig.config. The other option is to store the connection string in the web.config. This will allow you to retrieve the connection string just like you would in a non-Sitefinity asp.net web application.
If you still want to store the connection string in the dataconfig.config than you must select the "Show All Files" option in Visual Studio. This is achieved by clicking the icon highlighted in the attached screenshot.