Database connectivity gives desktop and Web applications much of their value. .NET developers have products and framework objects that can tie a front-end application to SQL Server, MySQL, Sybase, ...
When you need a SQL database fast, the cloud is the best way to go. Azure provides a SQL database as a Platform as a Service (PaaS) that eliminates the need to get an entire SQL Server up and running.
SQL Server Management Studio can help take the guesswork out of creating connection strings for PowerShell applications.
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