My.Settings.MyConnectionString Works But App.config Don't?

I'm not a WinForms developer, but have been doing ASP.NET for quite some time.I have to write something in VB.NET that just pushes some simple data to a database.So I created the VB.NET WinForms app (Visual Studio 2005).When I run the app it works fine for using:

Dim conMyData As SqlConnection
Dim cmdInsert As SqlCommand
Dim isSaved As Boolean

[code]....

That is, if I define the connection string inside of the properties of the project. If I build my project, snatch the .exe from the bindebug folder and run it on my desktop,it works ONLY if I have the version that says My.Settings.MyConnectionString Otherwise, if I use the other version where I am pulling the connection string from my app.config file it only works if I run the project through visual studio, it will not run by just opening up the .exe on my desktop. It syas something like ConnectionString not set, or sometimes it states object not set to an instance of something... why does it work from within the project?Is it because when I build the project it cannot reference that app.config file since I've moved it to my desktop?