Johnny,
There is a way to use the .dnn manifest file in the module template to install and uninstall an entry in the DNN web.config such that you don't need a manual step when someone installs your module using the packaging.
<component type="Config">
<config>
<configfile>web.config</configfile>
<install>
<configuration>
<nodes>
<node path="/configuration/appSettings" action="update" key="key" collision="overwrite">
<add key="MyExternalConnection" value="Data Source=.;Initial Catalog=mydata;User ID=user;Password=abc123;">
</add></node>
</nodes>
</configuration>
</install>
<uninstall>
<configuration>
<nodes>
<node path="/configuration/appSettings/add[@key='MyExternalConnection']" action="remove">
</node></nodes>
</configuration>
</uninstall>
</config>
</component>
Then your module can access the connection string using:
DotNetNuke.Common.Utilities.Config.GetSetting("MyExternalConnection");
Another option is to put the connection string in a resource (.resx) file that gets deployed with your module.
Hope either of these suggestions works for you.
Scott