Try this:

VB Code:
  1. Dim conSopon As SqlConnection

  2. Dim sqdCmd As SqlCommand

  3. Dim rdrSQL As SqlDataReader

  4.  
  5. Dim dsn As String = ConfigurationSettings.AppSettings("dsn")

  6. Dim cmbArray As New ArrayList()

  7.  
  8. conSopon = New SqlConnection(dsn)

  9. sqdCmd = New SqlCommand("SELECT pIndex FROM Referer", conSopon)

  10. sqdCmd.Connection.Open()

  11. rdrSQL = sqdCmd.ExecuteReader

  12.  
  13. Do While rdrSQL.Read

  14.      cmbArray.Add(Trim(rdrSQL("pIndex")))

  15. Loop

  16.  
  17. rdrSQL.Close()

  18. sqdCmd.Connection.Close()

Are you invoking the "Close" method off the reader?