A connection data source is an important part of a data connection. It can be set up in advance by your administrator, using the Manage Data Connections tool, and shared in the library, but it can also be set up within the context of a data connection, "embedded in connection", if you have access to the login credentials to the underlying database.
The information required to set up a connection data source varies between different types of connections, but it typically includes a server name, port number, database name and credentials information. See the login dialog for the interesting connection type for details.
You cannot use a Data source specified in Information Designer as a connection data source.
See also:
Adding Data Connections to an Analysis