COM Component to connect to database and run stored procedures

I was thinking of writing a COM component using C++ or C# to connect to a SQL database as well as run all my stored procedures. This is going to be used on a site running ASP.NET beta 2 and I was wondering where I could find some tutorials that may some example code, etc.

Also, is this worth doing or would including a file with the connection script through .NET be a better way. I was told that COM components will run a lot faster and the db connections will be called on every single page load so I though it would be best to use them.

Mark