Sub myMain()
    Dim con As New ADODB.Connection
    Dim cmm As New ADODB.Command
    Dim rss As New ADODB.Recordset

    Set rss = myConnect(con, cmm)
    If Not rss Is Nothing then
        rss.MoveLast
        rss.Close
    End If
    Set rss = Nothing
    Set con = Nothing
End Sub

Function myConnect(ByVal myCon As ADODB.Connection, ByVal myCom As ADODB.Command) As ADODB.Recordset
    Set myConnect = Nothing
    Dim sCon As String, sSql As String, myRS As ADODB.Recordset

    sCon = "Provider=SQLOLEDB.1;Integrated Security=SSPI;Persist Security Info=False;Initial 
Catalog=CC_UserArch_08_10_20_14_45_18R;Data Source=.\WINCC"
    sSql = "SELECT * FROM [dbo].[UA#Load_1]"

on error goto labErr

    myCon.ConnectionString = sCon
    myCon.CursorLocation =  3 
    myCon.Open

    myCom.CommandType =  1 
    Set myCom.ActiveConnection = myCon
    myCom.CommandText = sSql

    Set myRS = myCom.Execute
    Set myConnect = myRS
Exit Function
labErr:
' Здесь ничего не делам, т.к. изначально обнулили myConnect, а можем ссылочным
' параметром возвращать причину ошибки, почему ничего не получилось
End Sub