два раза не надо. исплозьзуй текущий connection или command( если с параметрами)

Вот пример из MSDN:
Public Sub ActiveConnectionX()

Dim cnn1 As ADODB.Connection
Dim cmdByRoyalty As ADODB.Command
Dim prmByRoyalty As ADODB.Parameter
Dim rstByRoyalty As ADODB.Recordset
Dim rstAuthors As ADODB.Recordset
Dim intRoyalty As Integer
Dim strAuthorID As String
Dim strCnn As String

' Define a command object for a stored procedure.
Set cnn1 = New ADODB.Connection
strCnn = "Provider=sqloledb;" & _
"Data Source=srv;Initial Catalog=pubs;User Id=sa;Password=; "
cnn1.Open strCnn
Set cmdByRoyalty = New ADODB.Command
Set cmdByRoyalty.ActiveConnection = cnn1
cmdByRoyalty.CommandText = "byroyalty"
cmdByRoyalty.CommandType = adCmdStoredProc
cmdByRoyalty.CommandTimeout = 15

' Define the stored procedure's input parameter.
intRoyalty = Trim(InputBox( _
"Enter royalty:"))
Set prmByRoyalty = New ADODB.Parameter
prmByRoyalty.Type = adInteger
prmByRoyalty.Size = 3
prmByRoyalty.Direction = adParamInput
prmByRoyalty.Value = intRoyalty
cmdByRoyalty.Parameters.Append prmByRoyalty

' Create a recordset by executing the command.
Set rstByRoyalty = cmdByRoyalty.Execute()

' Open the Authors table to get author names for display.
Set rstAuthors = New ADODB.Recordset
rstAuthors.Open "authors", strCnn, , , adCmdTable

' Print current data in the recordset, adding
' author names from Authors table.
Debug.Print "Authors with " & intRoyalty & _
" percent royalty"
Do While Not rstByRoyalty.EOF
strAuthorID = rstByRoyalty!au_id
Debug.Print , rstByRoyalty!au_id & ", ";
rstAuthors.Filter = "au_id = '" & strAuthorID & "'"
Debug.Print rstAuthors!au_fname & " " & _
rstAuthors!au_lname
rstByRoyalty.MoveNext
Loop

rstByRoyalty.Close
rstAuthors.Close
cnn1.Close

End Sub