Add a connection string (NOT A CONNECTION OBJECT) in an application item:
Application("dbConnection"

= "DSN=MyAccessDatabase"
Application("dbUser"

= "fred"
Application("dbPassword"

= "secret"
Do this in the GLOBAL.ASA file (there should be one for every ASP web). It cannot be made visible via IIS - so it is secure from prying eyes!
And put it in the Application_onstart subroutine - so it only gets called once, regardless of the number of users.
In your page do:
Dim cnMyConnection
set cnMyConnection = Server.CreateObject("ADODB.Connection"

cnMyConnection.Open Application("dbConnection"

_
, Application("dbUser"

_
, Application("dbPassword"
BUT DO NOT save this connection object (cnMyConnection) in the Application or Session collections. It just will not work. However, a single page can make and use just one connection - that is up to you.
OR you can use DTC recordsets - they just make the whole thing a doddle (mainly!)
(Content Management)