Question about using web deploy project / changing connectionstring

[VB Programmer]

ASP.NET 2.0 site...

Using web deployment project. Allowed web.config to be updateable.
Settings not only in web.config but also in appSettings.config and
connectionStrings.config.

Question: After I deploy, if I want to change the connectionstring do I only
have to change the web.config, or also the connectionStrings.config too?
Only changing the web.config seems to work, but that doesn't make sense.

Thanks.