For Absolute Path

oConn.Open "File Name=c:\somepath\myDatabaseName.udl" 
 

For Relative Path

oConn.Open "File Name=myDatabaseName.udl"
   

For more information, see:  HOWTO: Use Data Link Files with ADO

Note: Windows 2000 no longer contains the "New | Microsoft Data Link" menu  anymore. You can add the Data Link menu back in the menu list by running the "C:\Program Files\Common Files\System\Ole DB\newudl.reg" reg file, then right-click on the desktop and select "New | Microsoft Data
Link" menu.

Or you can also create a Data Link file by creating a text file and change it's file extension to ".udl", then double-click the file.

To view Microsoft KB articles related to Data Link File, click here