This sounds like it's likely a very common problem. You're using the Jet OLE DB provider to connect to the MDB data file and that's only available in 32-bit form. If your project is targeting the Any CPU paltform and you're developing on a 64-bit system then your app will be running in 64-bit mode. As such, as far as it's concerned, there is no Jet OLE DB provider. In that case, you'll need to change the target to x86, to force the app to run in 32-bit mode on all systems. If you're using VS then that's straightforward in the project properties. If you're using VB Express then it's a bit more complex but you can find instructions online.

On another note, may I ask why you're using such an outdated version of VB? VB 2005 has been superseded three times, by VB 2008, VB 2010 and now VB 2012. Unless you're required to use VB 2005 by some course or the like then I'd suggest that you should at least be using VB 2010. I'd strongly suggest using VB 2012 though, especially since it can round-trip VB 2010 projects to retain compatibility with other developers who are still using VB 2010. VB 2010 and later will set the target platform to x86 for a Win Forms App project by default.