Notepad a UDL on your way to a quick and dirty SQL Database connection test...

Dave Kidder's Break-it-Down Blog - How to Test a SQL Connection from any Windows Machine

Here are some quick steps you can take to test a SQL Connection from any Windows machine:

Hit Windows Key + D to show the desktop.

Right-click on the desktop and choose to create a new text document

Rename the file to something that ends with the file extension UDL (this is the important part)

After which, it should look like this:

...

This is a trick I just used today... :)