Permission-problem On Simple Query Inside CLR Function

I have created an assembly with permission set safe, and a function inside the assembly.
The function reads data from the same SQL Server as it is running inside. For connection I use the "Context connection = true", and the function has the SystemDataAccessKind attribute set to Read.

However when I execute my CLR function I get an error saying something like:
"The request for permission of type System.Data.SqlClient.SqlClientPermission...... failed"

I do, as the login user, have been granted the necessary rights, so I don't believe this is the answer to the error.
And my .dll is also signed.

Has this something to do with writing something a config file?
I have had simular problems with reporting services but fixed them by entering a node in the rspolicy.config file. If this is the case here - which .config file should i modify...machine.config?