I assume you are talking about a database "connection string". What type of database are you connecting to (Oracle, Microsoft SQL Server, MySQL, etc.)? If it is one of the dozen or so databases that has drivers packaged in ColdFusion already, there should be a place to enter a connection string in the Data Source's configuration page within ColdFusion Administrator (you'll need to click the "Show Advanced Settings" button to see it). However, in many cases you don't need to enter a connection string - just entering the basic database server/name and credentials is all that is needed.
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You must be talking either about the connectstring attribute for tags or the connection string attribute in the datasource settings. The connectstring attribute for the tags cfquery, cfupdate, etc. was deprecated at version MX, hence long before Coldfusion 11. When you come across it in your code, you may delete it.
The issue reported as 'ConnectString attribute in ColdFusion MX 7 datasources does not work as expected' is related to the above, and was fixed many versions ago. As Carl says, you practically no longer need to enter a connection string in the datasource settings.