From MSDN:

Code:
Dim WithEvent connEvent as Connection
Dim conn as New Connection
set connEvent = conn      'Turn on event support.
conn.Open(...)
...
set connEvent = Nothing   'Turn off event support.
...
Private Sub connEvent_ConnectComplete(ByVal err as ADODB.Error, adStatus as ADODB.EventStatus, ByVal pConnectionas ADODB.Connection)
'Check the error object only if adStatus equals adStatusErrorsOccurred.
...
End Sub
I know its for a connection, but the same principle should apply for a recordset