I worked in Crystal Report for quite a while but even I got confused how to add SQL Connection when I installed Crystal Reports on a new sytem. Basically there were no existing connections under any of the options and it was not every intuitive how to add a connection string.
1. Simply double click OLE DB (ADO)
2. This will popup a dialog, go to the very bottom in the list and choose SQL Server Native Client.
That’s it! Check the checkbox for integrated security and select your server. You should be all set.