You can copy the connection string created in the App.Config of the DAL assembly into the connectionStrings section of the web.config.
You can keep the connection string in the assembly dll but you shouldn't deploy it with the website.
You will need to copy the entire connection string. It should look like this:
<add name="DataEntities" connectionString="metadata=res://*/DataModel.csdl|res://*/DataModel.ssdl|res://*/DataModel.msl;provider=System.Data.SqlClient;provider connection string="Data Source=xxx;Initial Catalog=xxx;User Id=xxx;Password=xxx;MultipleActiveResultSets=True"" providerName="System.Data.EntityClient" />
It should include all the information on where the mapping files exist.
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