The word "Trinity" does not appear anywhere in the King James Bible; it is a later theological term for the New Testament pattern of naming the Father, the Son, and the Holy Ghost together, as in the baptismal formula Jesus gives at the close of Matthew.
Matthew 28:19 in the King James Version reads:
Go ye therefore, and teach all nations, baptizing them in the name of the Father, and of the Son, and of the Holy Ghost:
The verse is spoken by Jesus at the very end of Matthew 28, as part of what is often called the Great Commission. Read it in context at Matthew 28:19, or the full chapter at Matthew 28. Encyclopedia entry: en.wikipedia.org/wiki/Trinity.