There are several possible catches.
I think that the most common error is in this part of the connection string:
res://xxx/yyy.csdl|res://xxx/yyy.ssdl|res://xxx/yyy.msl;
This is no magic. Once you understand what is stands for you'll get the connection string right.
First the xxx part. That's nothing else than an assembly name where you defined you EF context clas. Usually it would be something like MyProject.Data.
Default value is * which stands for all loaded assemblies. It's always better to specify a particular assembly name.
Now the yyy part. That's a resource name in the xxx assembly.
It will usually be something like a relative path to your .edmx file with dots instead of slashes. E.g. Models/Catalog - Models.Catalog
The easiest way to get the correct string for your application is to build the xxx assembly. Then open the assembly dll file in a text editor (I prefer the Total Commander's default viewer) and search for ".csdl". Usually there won't be more than 1 occurence of that string.
Your final EF connection string may look like this:
res://MyProject.Data/Models.Catalog.DataContext.csdl|res://MyProject.Data/Models.Catalog.DataContext.ssdl|res://MyProject.Data/Models.Catalog.DataContext.msl;
