Storing A Database Connection String Into Settings In A .net DLL Data Layer?

I've always used this approach while implementing data layer DLL for web application:

1) put datasets into the dll project
2) use a helper class with a method like this:

public shared sub settCnnStr(strconnhere as string)
My.Settings.Item("connectionString") = strconnhere
end sub

3) when I need to use the dll I call a method like this (usually into global.asax):

xxxxxxx.helper.setCnnStr("yyyyyyyyyyyyyy")

This method always worked for me nicely but I'd like to know if this method could have serious drawback or if there's a better solution.