Config file?

i'm kinda new to asp,and im creating a site where you need to register,loggin (sql).
the problem is that at every page i need to connected to sql or i can create a Config page,put there every function and just use a include script.Ex.
 Config.inc(or aspx or idonnu ,include file)
<script runat="server"> public void Welcomemsg() { Response.Write("Hello Guest"); } Here home.aspx
...
....
.......
<include config.inc>
    <% Welcomemsg() %>
</html>

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