And if you want to code the connection yourself (never a bad idea), then you can do:
dim con
set con = server.createObject("ADODB.Connection"

con.open ("DSN=dsnName;UID=uid;PWD=pwd"
So that the 'dsnName' is the name you gave your DSN, like bironman suggested, and UID is your user id, and PWD is the password for that user id. If you're using Access or some other db that doesn't need a password, then your string would look like this:
con.open ("DSN=myDSN"
You can then open a recordset like:
dim rs
set rs = server.createObject("ADODB.Recordset"

dim sql
sql = "SELECT * FROM someTable" 'any valid SQL statement
rs.activeConnection = con 'must be a valid connection obj
rs.open sql
And you now have a recordset populated with all the records from your 'someTable' table that is contained in the database you specified for your DSN.
Don't forget to set your objects = nothing when you're finished with them.
set rs = nothing
set con = nothing
hope that helps!

Paul Prewett