Hai ragione zampa, ecco tutto il codice:
Imports System.Data
Imports System.Data.OleDB
Public Class WebForm1
Inherits System.Web.UI.Page
Dim connessione As OleDbConnection

Private Sub Page_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
connessione = New OleDbConnection(ConfigurationSettings.AppSettings( "connessione"))
connessione.Open()

Dim primasql As String = "SELECT * FROM miatabella"
Dim comando As New OleDbCommand(primasql, connessione)
Dim objDataReader As OleDbDataReader
objDataReader = comando.ExecuteReader(CommandBehavior.CloseConnect ion)
DropDownList1.DataSource() = objDataReader
DropDownList1.DataBind()

End Sub

La dropdownlist è :
<asp:dropdownlist id="DropDownList1" runat="server" Width="344px" Height="80px"></asp:dropdownlist>