App.config
<add name="databaseName" connectionString="Data Source=localhost; Initial Catalog=ABC_DB; Persist Security Info=True; User ID=sa;Password=1234"/>   
Window.xaml.cs
public MainWindow()
{
    InitializeComponent();
    OpenConnection();
}
public SqlConnection con = new SqlConnection
{
    ConnectionString = ConfigurationManager.ConnectionStrings["databaseName"].ConnectionString
};
public void OpenConnection()
{
    try
    {
        con.Open();
    }
    catch (SqlException ex)
    {
        MessageBox.Show(ex.Message, "Warning", MessageBoxButton.OK, MessageBoxImage.Error);
        /// If you want the program to exit completely
        /// Environment.Exit(0);
    }
}
Additional, you can add something like this:
public void Whatever()
{
    if (con.State == ConnectionState.Open)
        {
            /// Your code
        }
    else
    {
        MessageBox.Show("Could not connect to server", "Warning", MessageBoxButton.OK, MessageBoxImage.Error);
        OpenConnection();
    }
}