Hi Kelly,
You open a new VB.Net project, you add a reference to System.Data. You drop 1 button and the form and write the code that you posted, with the connection string on 1 single line. You run and it works.
If you did that and are still experiencing issues, the only difference between your code and mine would be the database (an Access 2003 DB in my case).
Regards,
Franck Dauché
InfoPathDev