How to set your sensitive data in the application code when creating ADO.NET Model?d some tag a

I am creating a model for a database and was curious at the following statement in the ADO.NET Entity Model wizard where you have the options of choosing Yes or No as where to store sensitive data -

"No, exclude sensitive data from the connection string. I will set it in my application code."

I have never used this option and just wanted to find out if I did where I would have to specify my sensitive data. Any ideas?