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You would think this would be easy to answer, but there are multiple ways to connect to SQL Server. Depending on which version of Visual Studio you're using, with different levels of complexity, Visual Studio 2003 and 2005 have made using SQL Server data much more straight forward.
Basically, there are two parts to connecting and working with SQL Server. The connection looks something like:
Dim yourdbCnn As ADODB.Connection
Set yourdbCnn = New ADODB.Connection
Dim strdbCnn As String
strdbCnn = "Provider=SQLOLEDB;Driver={SQL Server};"
strdbCnn = strCnn & "Server=YourSQLServerName;"
strdbCnn = strCnn & "Database=YourdatabaseName;"
strdbCnn = strCnn & "uid=YourUser;pswd=YourPassword;"
yourdbCnn.ConnectionString = strCnn
For additional help, check out the Microsoft center for data access technologies and this SQL Server Express resource.
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