How to change connection string in nopCommerce

Connection string in nopCommerce is located at
...\nopCommerce\Presentation\Nop.Web\App_Data\Settings.txt

Please note:  
This file can not shows in visual studio, so you can directly open file from physical location  Presentation\Nop.Web\App_Data


Your sample connection string will look like
DataProvider: sqlserver
DataConnectionString: Data Source=<SQLServerName>;Initial
Catalog=<MyDatabaseName>;Integrated Security=True;Persist Security
Info=False;MultipleActiveResultSets=True


Is it safe to Settings.txt file is secured?
Generally we stored connection string in Web.config file, but in nopCommerce we found that Connection String is stored in \Presentation\Nop.Web\App_Data\Settings.txt

Yes it is safe.  All files stored into App_Data directory are "secured". Any file you place there won't be downloadable.