Una forma es utilizando en referencias
la libreria Microsoft ActiveX Data Objects 2.*
Dim cn As ADODB.Connection
Dim rs As ADODB.Recordset
Set cn = New ADODB.Connection
With cn
\\\'Si es Acces, si es SQL el proveedor es SQLOLEDB
cn.provider = \\\"Microsoft.Jet.OLEDB.4.0\\\"
cn.ConnectionString = "c;/mibaseDatos " 'tu ruta de la base de datos
End With
cn.open
Set rs = New ADODB.Recordset
SQL = "select * from tutabla "
rs.open SQL, cn, adOpenStatic, adLockOptimistic
set tuDataGrid.datasource = rs
End Sub