Set references to Microsoft Access Object Library and Microsoft ActiveX Data Object 2.0 Library, then

Code:
Private myCN As ADODB.Connection
Private myRS As New ADODB.Recordset

Private Sub Form_Load()

Set myCN = New ADODB.Connection
With myCN
    .ConnectionString = Provider=Microsoft.Jet.OLEDB.3.51;Persist Security Info=False;Data Source=C:\My Documents\myDatabase.mdb
    .CursorLocation = adUseClient
    .Open
End With

If myRS.State = adStateOpen Then
     myRS.Close
End If

myRS.Open "Select * From MyTable Order By MY_FIELD", myCN, adOpenKeyset, adLockOptimistic

Set DataGrid1.DataSource = myRS

End Sub