Dim WithEvents conn  As ADODB.Connection
Dim rs As ADODB.Recordset
...
  Set conn = New ADODB.Connection
  conn.Open  "..." 
  rs = New ADODB.Recordset
  rs.Open "", conn, adOpenStatic, adLockOptimistic, adAsyncExecute
...  
Private Sub conn_ExecuteComplete(ByVal RecordsAffected As Long, ByVal pError As ADODB.Error, adStatus As ADODB.EventStatusEnum, ByVal pCommand As ADODB.Command, ByVal pRecordset As ADODB.Recordset, ByVal pConnection As ADODB.Connection)
' вот здесь обработка
End Sub