As Howard indicated, using a trusted connection saves you some of the trouble in setting up a DSN using SQL-based authentication. You just need to make sure that your security settings are properly configured on the server end. Here's an example of a connect string I use to connect to SQL server using a trusted connection.

$ConnectString = "Provider=sqloledb;DataSource=SOMESQLSERVER;Initial Catalog=THEDATABASE;Integrated Security=SSPI"

$ADOConn = CreateObject("ADODB.Connection")
IF @ERROR=0
$ADOConn.Open($ConnectString)
ENDIF

Here's a nice link that shows you how to assemble a connection string to a multitude of DB providers:

http://www.able-consulting.com/MDAC/ADO/Connection/OLEDB_Providers.htm

-Ron