Create an app and in the load data section there is a button to create new connections.
Chose the appropriate connector Ole db and SQL server is the one I use and enter your DB credentials if you are used to connecting to databases then it's straight forward.
Location, user name/password to access the db and the db name should be enoigh.
You can Test the connection in there before you save.
If you created the app on desktop version then the data connection will be uploaded to the server when you import the app.
if you are creating the app on the server the connection will be created straight on the server with your username added to the end of the connection. You can edit this in the data connectors section of the server if you want that removed.