I'm developping with Microsoft Visual Studio .Net a SPS 2003 web part. This
web part failed when trying to connect to an external SQL server.

Just by executing this line it fails:
OleDbConnection myConnection = new OleDbConnection("Provider=SqlOleDb; Data
Source=SERVER1; Initial Catalog=dbName; User Id=appDBName; Password=mypass;
Connect Timeout=130");

The error message in a .Net format (with light yellow parts):
The application attempted to perform an operation not allowed by the
security policy. To grant this application the required permission please
contact your system administrator or change the application's trust level in
the configuration file

Does anyone can help me? What security policy is blocking my connection and
where I can change it?

I would say that the IIS login is the problem but I don't know where to
change it exactly