Include Files

I just started ASP/ASP.NET two days ago. I would like to know the best way to go about using this include file method to contain my connection string stuff. As I understand it, a connection should only last as long as the query action (unlike VB6 with a persistent connection.)
So, what would be the best stuff to put into an include file for my connection stuff so I only have to make one change throughout the ASP/ASP.NET app?
Any other experiences with good things to put in that include file?
Can I also create the connection object in the include file and use it in multiple pages?