private void btn_connect_Click(object sender, EventArgs e)
{            
    Thread th = new Thread(new ThreadStart(ConnectionTest));
    th.IsBackground = true;
    th.Start();
}

void ConnectionTest()
{
    try
    {
        SqlConnection conn = new SqlConnection(connstr);
        conn.Open();
    }
    catch (Exception ex) { MessageBox.Show(ex.Message); } 
}