Tres formas de abrir una conexion ADO:
' There are three ways to open a Connection Object within ADO:
'   1) By Setting the ConnectionString property to a valid Connect
string and then calling the Open() method. This connection string
is provider- dependent.
'   2) By passing a valid Connect string to the first argument of
the Open() method.
'   3) By passing the ODBC Data source name and optionally user-id
and password to the Connection Object's Open() method.
' There are three ways to open a Recordset Object within ADO:
'   1) By opening the Recordset off the Connection.Execute()
method.
'   2) By opening the Recordset off the Command.Execute() method.
'   3) By opening the Recordset object without a Connection or
Command object, and passing an valid Connect string to the second
argument of the Recordset.Open() method.
' This code assumes that Nwind.mdb is installed with Visual Basic,
and is located in the C:\Program Files\DevStudio\VB directory.
' For more information see Microsoft Knowledgebase Article ID:
Q168336 
      Private Sub cmdOpen_Click()
          Dim Conn1 As New adodb.Connection
          Dim Cmd1 As New adodb.Command
          Dim Errs1 As Errors
          Dim Rs1 As New adodb.Recordset
          Dim i As Integer
          Dim AccessConnect As String
          ' Error Handling Variables
          Dim errLoop As Error
          Dim strTmp As String
          AccessConnect = "Driver={Microsoft Access Driver
(*.mdb)};" & _
                        "Dbq=nwind.mdb;" & _
                        "DefaultDir=C:\program files\devstudio\vb;"
& _
                        "Uid=Admin;Pwd=;"
          '---------------------------
          ' Connection Object Methods
          '---------------------------
          On Error GoTo AdoError  ' Full Error Handling which
traverses
                                  ' Connection object
          ' Connection Open method #1:  Open via ConnectionString
Property
          Conn1.ConnectionString = AccessConnect
          Conn1.Open
          Conn1.Close
          Conn1.ConnectionString = ""
          ' Connection Open method #2:  Open("[ODBC Connect
String]","","")
          Conn1.Open AccessConnect
          Conn1.Close
          ' Connection Open method #3:  Open("DSN","Uid","Pwd")
          Conn1.Open "Driver={Microsoft Access Driver (*.mdb)};"
& _
                     "DBQ=nwind.mdb;" & _
                     "DefaultDir=C:\program files\devstudio\vb;"
& _
                     "Uid=Admin;Pwd=;"
          Conn1.Close
          '--------------------------
          ' Recordset Object Methods
          '--------------------------
          ' Don't assume that we have a connection object.
          On Error GoTo AdoErrorLite
          ' Recordset Open Method #1:  Open via
Connection.Execute(...)
          Conn1.Open AccessConnect
          Set Rs1 = Conn1.Execute("SELECT * FROM Employees")
          Rs1.Close
          Conn1.Close
          ' Recordset Open Method #2:  Open via
Command.Execute(...)
          Conn1.ConnectionString = AccessConnect
          Conn1.Open
          Cmd1.ActiveConnection = Conn1
          Cmd1.CommandText = "SELECT * FROM Employees"
          Set Rs1 = Cmd1.Execute
          Rs1.Close
          Conn1.Close
          Conn1.ConnectionString = ""
          ' Recordset Open Method #3:  Open w/o Connection &
w/Connect String
          Rs1.Open "SELECT * FROM Employees", AccessConnect,
adOpenForwardOnly
          Rs1.Close
Done:
          Set Rs1 = Nothing
          Set Cmd1 = Nothing
          Set Conn1 = Nothing
          Exit Sub
AdoError:
          i = 1
          On Error Resume Next
          ' Enumerate Errors collection and display properties of
          ' each Error object (if Errors Collection is filled out)
          Set Errs1 = Conn1.Errors
          For Each errLoop In Errs1
           With errLoop
              strTmp = strTmp & vbCrLf & "ADO Error # "
& i & ":"
              strTmp = strTmp & vbCrLf & "   ADO Error   #
" & .Number
              strTmp = strTmp & vbCrLf & "   Description  
" & .Description
              strTmp = strTmp & vbCrLf & "   Source       
" & .Source
              i = i + 1
           End With
          Next
AdoErrorLite:
          ' Get VB Error Object's information
          strTmp = strTmp & vbCrLf & "VB Error # " &
Str(Err.Number)
          strTmp = strTmp & vbCrLf & "   Generated by "
& Err.Source
          strTmp = strTmp & vbCrLf & "   Description  "
& Err.Description
          MsgBox strTmp
          ' Clean up gracefully without risking infinite loop in
error handler
          On Error GoTo 0
          GoTo Done
End Sub
Procesar una consulta SQL:
'SQLTmp= orden SQL
'Db será una base de datos:
'Dim Db As Database	'Variable para las Bases de Datos
'Set Db = OpenDatabase("Nombre_Base_Datos")
On Error Resume Next
Db.Execute SQLTmp, dbFailOnError
If Err Then
	MsgBox "Se ha producido un error al ejecutar la orden:" & vbCrLf & SQLTmp
End If
Para mas informacion: 
http://www.monografias.com/trabajos7/sql/sql.shtml#dataUn saludo