Just note an important issue. When building high-traffic applications, you should consider overhead of creating and destroying objects, specially when putting Data Access logic into class modules. MSDN recommends to put the data access code into a standard module vs class modules. It also has a statistical analysis to show this.
For more info search MSDN using this expression in search pane:
"Visual near Basic near Live near Techniques"
Also you may want to run a startup code when your COM dll or exe loads for the first time, like reading the ConnectionString of the database from registry or an .INI file. In this case you should add a standard module an put the initialization code into Public Sub Main.
But in normal cases, follow the USE CLASSES strategy.