谢谢斑竹，目前我用了2种方式打开了数据库，之前就是不明白各种连接方式的ConnectionString的参数，所以参数搞混了。我把2个打开数据库的源代码写下来了，希望对后来人有些帮助。

OLE DB连接：
provider = "Provider = WINCCOLEDBProvider.1"

database = "CC_TEST_08_05_21_15_03_52R"

server = ".\WINCC"

User_ID = "SMARTFOX\Administrator"

Password = ""

connection = provider + database + User_ID + Password

Set conn = CreateObject ("ADODB.Connection")

conn.ConnectionString = connection

conn.open

MsgBox ("nihao!")

End Sub

SQL连接：
Sub OnClick(Byval Item)
Dim strcn
Dim cn

Set cn = CreateObject("ADODB.Connection")
strcn="Provider=SQLOLEDB.1;Integrated Security=SSPI;Persist Security Info=False;Initial Catalog=CC_TEST_08_05_21_15_03_52R;Data Source=.\WINCC"
cn.ConnectionString=strcn

cn.open
MsgBox ("nihao!")
End Sub