How to integration test an object with database queries

How can i write unitintegration tests that talk to a database. e.g.:

public int GetAppLockCount(DbConnection connection)
{
    string query := 
          "SELECT"+CRLF+
          "   tl.resource_type AS ResourceType,"+CRLF+
          "   tl.resource_description AS ResourceName,"+CRLF+
          "   tl.request_session_id AS spid"+CRLF+
          "FROM sys.dm_tran_locks tl"+CRLF+
          "WHERE tl.resource_type = 'APPLICATION'"+CRLF+
          "AND tl.resource_database_id = ("+CRLF+
          "    SELECT dbid"+CRLF+
          "    FROM master.dbo.sysprocesses"+CRLF+
          "    WHERE spid = @@spid)";

    IRecordset rdr = Connection.Execute(query);

    int nCount = 0;
    while not rdr.EOF do
    {
       nCount := nCount+1;
       rdr.Next;
    }

    return nCount;
 }

In this case i am trying to exorcise this code of bugs (the IRecordset returns empty recordset).

[UnitTest]
void TestGetLockCountShouldAlwaysSucceed();
{
   DbConnection conn = GetConnectionForUnit_IMean_IntegrationTest();
   GetAppLockCount(conn);
   CheckTrue(True, "We should reach here, whether there are app locks or not");
}

Now all i need is a way to connect to some database when running a unit integration testing.

Do people store connection strings somewhere for the test-runner to find? A .ini or .xml or .config file?

Note: Language/framework agnostic. The code intentionally contains elements from:

• C#
• Delphi
• ADO.net
• ADO
• NUnit
• DUnit

in order to drive that point home.