I don't think it can be done directly - if it can, I'd like to know how!
What I usually do is something like this:
Declare a class to hold a row of data
Create a Collection to hold the objects created from my class
Get the recordset from my database (table or query)
Load it into an array with rs.GetRows (note that the array indices are column, row)
Loop through the array, creating new classes, loading them from the column values and adding them to my collection
If I need to be able to look up objects, I add a "Key" property to the class that returns some unique combination of its values as a string. So my collection adding code would be something like
myCol.Add newObject, newObject.Key