using System;
using System.Configuration;

namespace ConnectionStringConfig
{
  class Program
  {
    static void Main(string[] args)
    {
      var setting = new ConnectionStringSettings
      {
          Name = "MyConnectionString1",    
          ConnectionString = @"Data Source=(local); Initial Catalog=ShopDB; Integrated Security=True;"
      };
      Configuration config;  
      config = ConfigurationManager.OpenExeConfiguration(ConfigurationUserLevel.None); 
      config.ConnectionStrings.ConnectionStrings.Add(setting);
      config.Save();
      Console.WriteLine("Строка подключения записана в конфигурационный файл.");
      Console.WriteLine(ConfigurationManager.ConnectionStrings["MyConnectionString1"].ConnectionString); // Ошибка
      Console.ReadKey();
    }
  }
}