There are four basic things that are required...
There are limits on installing
server software on a desktop OS
(Traditional SQL server will not
install on XP) So you need to understand what you can install and where.
In your application there are choices as to "how to connect", but my experience is you want to use the .Net SQLClient
You need an understanding of how to
invoke an sql statement on the
server through direct sql or stored
procedures.
You need to understand what to expect in return from a query (nothing, scalar value, returned parameters, recordset...) and what to do with it when you get it...
For more information, please post examples of what you have tried, what the result was and what (specifically) you are trying to accomplish.
Edit after comment from @Marziana
As I read you comment I believe there are two questions:
- How do I deploy the database to a
new server?
- How do I connect my window forms
application to that new database?
1) Out of your original question, installing MS SQL server (standard edition) will NOT install on MS Windows XP. You need a Windows Server Software installation onto which you may install SQL Server. Your other option is to install a lesser edition of SQL Server to install on XP (such as SQL Desktop Edition, Evaluation Edition or Personal Edition).
2) The "Connection String" is the directive to the connection object telling what server to locate (and what instance of SQL on that server), which database to attach to on that server (the "initial catalog"), the security model to implement and the credentials (Username/password) to use if not using "integrated" security). If you "hard coded" your connection string then that makes it impossible to change the connection string to adapt to a new database server/dbname/credentials.
Beyond that your question is overly broad for a more direct answer.