Change this line:
cmd.CommandText = "INSERT INTO Data (Name,PhoneNo,Address) VALUES (" + txtName.Text + "," + txtPhone.Text + "," + txtAddress.Text + ");";
to this:
cmd.CommandText = "INSERT INTO Data (Name,PhoneNo,Address) VALUES ('" + txtName.Text + "','" + txtPhone.Text + "','" + txtAddress.Text + "');";
Your insert command is expecting text, and you need single quotes (') between the actual value so SQL can understand it as text.
EDIT: For those of you who aren't happy with this answer, I would like to point out that there is an issue with this code in regards to SQL Injection. When I answered this question I only considered the question in point which was the missing single-quote on his code and I pointed out how to fix it. A much better answer has been posted by Adam (and I voted for it), where he explains the issues with injection and shows a way to prevent. Now relax and be happy guys.