What follows is code I use to connect to a data source. Perhaps it will give
you a starting place.

Function WorkGroupPath() As String
'   Written by Charles Kenyon
'   February 28, 2003
'
'   Used by templates menus to set location of templates.
'   Returns workgroup tempates path with "\" at the end.
'
'   This is needed because if the folder is a network drive rather
'   than a folder, it will have the "\" already. If it is a folder,
'   it will not have the backslash. This function gives a string
'   with the backslash in either case.
'
   WorkGroupPath =
Application.Options.DefaultFilePath(wdWorkgroupTemplatesPath)
   If Right(WorkGroupPath, 1) <> "\" Then
       WorkGroupPath = WorkGroupPath & "\"
   End If
End Function

Sub AttachClients()
'   Written by Charles Kenyon
'   19 April 2005
'
'   Requires WorkGroupPath function
'
'   Makes activedocument a mailmerge (letter) document and
'   attaches Clients_Merge.xls from Parts folder of Workgroup Templates
folder.
'
   On Error Resume Next
'
'   Name of file
   Dim strFileName As String
   Dim strProvider As String
   strFileName = WorkGroupPath & "Parts\Merge Data\Clients_Merge.xls"
'
'   Attach Merge list
'    ActiveDocument.MailMerge.OpenDataSource _
       Name:=strFileName, _
       ConfirmConversions:=False, ReadOnly:=False, LinkToSource:=True, _
       AddToRecentFiles:=False, PasswordDocument:="", PasswordTemplate:="",
_
       WritePasswordDocument:="", WritePasswordTemplate:="", Revert:=False,
_
       Format:=wdOpenFormatAuto, Connection:= _
       "Provider=Microsoft.Jet.OLEDB.4.0;Password="""";User ID=Admin;Data
Source=C:\Documents and Settings\All Users\Documents\MS Office User System
Files\Shared Templates\Parts\Merge Data\Clients_Merge.xls;Mode=Read;Extended
Properties=""HDR=YES;IMEX=1;"";Jet OLEDB:" _
       , SQLStatement:="SELECT * FROM `Clients$`", SQLStatement1:="",
SubType:= _
       wdMergeSubTypeAccess
'    ActiveDocument.MailMerge.OpenDataSource _
       Name:=strFileName, _
       ConfirmConversions:=False, ReadOnly:=False, LinkToSource:=True, _
       AddToRecentFiles:=False, PasswordDocument:="", PasswordTemplate:="",
_
       WritePasswordDocument:="", WritePasswordTemplate:="", Revert:=False,
_
       Format:=wdOpenFormatAuto, _
       Connection:= _
       "Provider=Microsoft.Jet.OLEDB.4.0;Password="""";User ID=Admin;Data
Source=strFileName;Mode=Read;Extended Properties=""HDR=YES;IMEX=1;"";Jet
OLEDB:" _
       , SQLStatement:="SELECT * FROM `Clients$`", SQLStatement1:="",
SubType:= _
       wdMergeSubTypeAccess
'   Following should be shorter version of above (somewhat)
   ActiveDocument.MailMerge.OpenDataSource strFileName, , , False, _
       True, False, "", "", False, "", "",
"Provider=Microsoft.Jet.OLEDB.4.0;Password="""";User ID=Admin;Data
Source=strFileName;Mode=Read;Extended Properties=""HDR=YES;IMEX=1;"";Jet
OLEDB:" _
       , "SELECT * FROM `Clients$`", "", , wdMergeSubTypeAccess
'
'   Show merge data
   ActiveDocument.MailMerge.ViewMailMergeFieldCodes = False
'
End Sub