You do this if you wish to connect as a specific user, rather than (for example) just using the context of the current user which your application is running under. However, if you use SQL Server authentication (i.e. username and password), you'd need to provide that password in the connection string, which is something of a security problem.
If the application has a group of anonymous users (or manages users/passwords itself) then its better to use a Windows login and run the application under a service account (which has minimal required access to the database).
If you're running an interactive application on the desktop, you should let those users connect to SQL server in their own context, by adding them to SQL Server with the required rights (e.g. db read/write , remove any higher functions). Obviously you would use groups to make administration simpler rather than adding individual users.