You can create an OLEDB connection using the ADO Data Control without writing one line of code. When you right-click the Data Control in design view you are prompted with a wizard that guides you through the connection process. When the wizard pops up click on the radio button Use Connection String and then click the Build button. Then you pick the Microsoft Access OLEDB Provider, then locate the Access DB you want to connect to. Then you pick your Record source, which can be a adCmdTable(Table recordset) or adCmdText(sql string). Then you should be good to go.
To reference a datagrid control to the ADO Control, in Form Load add this code DataGrid1.DataSource = adodc1.underlyingvalue
When you want to become more sophisticated in your programming you will not use the ADO control any longer, but will build your connection through code. Code offers more versatility.