I don't think you understand the difference between the two.
You can have an OLEDB connection using DSN or you can have DSNless connection. Here's an example:
Code:
Dim cnDSN As New ADODB.Connection
Dim cnNoDSN As New ADODB.Connection
'Here's how you can open connection based on DSN
cnDSN.Open "Data Source=YourDSN;User ID=UserName;Password=UserPassword;"
'Here's how you can open Connection without DSN
cnNoDSN.Open "driver={SQL Server};" & _
"server=YourServerName;uid=UserId;pwd=Password;database=DatabaseName"