Create a SQLConnection object with the given parameters
          This function creates a SQLConnection object, using the parameters provided to construct the connection string. You may optionally provide the initial database, and SQL credentials (to use instead of NT Authentication).
      .PARAMETER Server
          The name of the SQL Server to connect to. To connect to a named instance, enclose the server name in quotes (e.g. "Laptop\SQLExpress")
      .PARAMETER Database
          The InitialDatabase for the connection.
      .PARAMETER User
          The SQLUser you wish to use for the connection (instead of using NT Authentication)
      .PARAMETER Password
          The password for the user specified by the User parameter.
          PS C:\> New-Connection -server MYSERVER -database master
          PS C:\> Get-Something -server MYSERVER -user sa -password sapassword
          You cannot pipe objects to New-Connection

  function New-Connection{
        if($database -ne ''){
        $conn=new-object System.Data.SqlClient.SQLConnection
        if ($user -ne ''){
            $conn.ConnectionString="Server=$server;$dbclause`User ID=$user;Password=$password;Pooling=false"
        } else {
            $conn.ConnectionString="Server=$server;$dbclause`Integrated Security=True"
        write-debug $conn.ConnectionString
        return $conn