If you look at the "Using Managed Connections" / "Recommendations and Requirements" find and read the section titled "DatabaseLoginDialog.dg".

If you are running a Web Application or you don't want to have the database login dialog tool embedded in your windows application you need to create a stand alone windows application to do the login and store the credentials. It's pretty easy to do that now, but we want to create a customized template that makes it easier.

-John