Così va meglio ?

Set Fso = CreateObject("Scripting.FileSystemObject")
Set Filelog = Fso.CreateTextFile("NOMEFILELOG",true)

Connessione....
Rs.open "SELECT NOMEFILE FROM TABELLA",CONNESSIONE

Do While not Rs.Eof
If Not Fso.FileExists(Rs("NOMEFILE")) Then
Filelog.writeline(Rs("NOMEFILE"))
End If
Rs.Movenext
Loop

Rs.Close
ecc...
Set Fso = Nothing
Set Filelog = Nothing