How to add Access file to Visual Basic 2008?

I have a project I'm trying to do where I have to add a .mdb file but I don't get the option to browse to the file once I try to add the connection. Instead I have a box with the words Misc and underneath that, connection string. The test connection is successful, but if I press OK to connect it says "Format of the Initialization stream does not conform to specification starting at Index 0." In my class notes there was the option to browse to the file below and then it worked, but I don't have that option.
Any ideas? Help please, it is for school!

could you post the code that is generating the error?

I haven't actually entered any code yet. I'll take you through step by step. First I open Visual Basic, then I create a project. Once I create the project, I add a DataGridView from the toolbox. Then I go to choose data source, add project data source. Then I choose database, next, then click on New Connection. Then I change datasource to Microsoft Access Database File, then press OK. Then it shows me one box that shows the datasource, but no box after that to browse to the exact database. I have attached what it looks like. Thanks for any help.