You could try the next way (only change for the real names)
Code:
'
Dim MyConStr AS String
Dim MySQL    AS ADODB.Connection
'
'
    MyConStr = "Provider=SQLOLEDB.1;" & _
               "UID=xxx;" & _
               "PWD=yyyyyy;" & _
               "Persist Security Info=False;" & _
               "Initial Catalog=DBNAME;" & _
               "Data Source=SERVERNAME"

    Set MySQL = New ADODB.Connection
        MySQL.CursorLocation = adUseClient
        MySQL.ConnectionString = MyConStr
        MySQL.Open
        MySQL.CommandTimeout = 0
Also, it could be helpful if you visit ---> http://www.connectionstrings.com/