Prova così:

codice:
Sub Form1_Load()
 Set conn = New adodb.Connection

 xserver = "localhost"
 xdatabase = "mydb"
 xuser = "a"
 xpass = "b"


 connStr = "DRIVER={MySQL ODBC 3.51 Driver};" _
         & "SERVER=" & xserver & ";" _
         & "DATABASE=" & xdatabase & ";" _
         & "UID=" & xuser & ";" _
         & "PWD=" & xpass & ";" _
         & "OPTION=18475"

 conn.ConnectionString = connStr

 On Error GoTo Errore
 conn.Open
 Exit Sub

Errore:
  MsgBox("Errore: " & Err.Number & " " & Err.Description)
End Sub