The idea is to find the proper connection string. Googling a bit may help.
I found a few here:
The question is: connect to what
? Excel? MS SQL? Access?
MS SQL has a native provider for ADO, you don't need ODBC for that one.
If you want to connect to FOXPRO, look here: http://www.connectionstrings.com/visual-foxpro
In general, the site http://www.connectionstrings.com
] has lot of examples (some of them are .NET oriented).
Another page you should read: How Do I Use the Connection Object in ADO?
Hope this helps,