Solo instala el driver y has toda la conexion mediante codigo
Revisa bien los parametros de conexion nombre de la base de datos, usuario, contraseña
Código:
Dim cn As Connection
Dim rs As Recordset
Private Sub Form_Load()
Set cn = New Connection
cn.ConnectionString = "DRIVER={MySQL ODBC 3.51 Driver}; SERVER=localhost;DATABASE=db_empresa;USER=root;PASSWORD=123456;OPTION=3"
cn.CursorLocation = adUseClient
cn.Open
Set rs = New Recordset
rs.Open "select * from productos", cn, adOpenStatic
Set DataGrid1.DataSource = rs
End Sub