I have included the following statement in my Visual C# Console Application (Visual Studio 2005 .NET 2.0 Framework)
using System.Configuration;
I faced the same problem too.
I have 2 projects 1 main and 1 DLL. I have App.config file in the same Place But Connection string was defined in DLL but not in main project which is executable one as main. after adding / moving the connection string to main project APP.CONFIG file, the issue resolved.
Hope this helps