sourceServer = "C:\Users\me\Documents\"
Then you tried to put that string in your connection string:
databaseIntegration.open "provider=sqloledb;data source=" & sourceServer & ";initial catalog=database;integrated security=sspi;"
You cannot do that. The connection string is expecting the name of a server, NOT A FILEPATH.
You have to come up with the DNS name of the SQL Server to connect to. If that's stored in a file, you have to write some code to read that file and get the server name out of it. You can then insert that name into the connection string.