Option Explicit
Dim conn
Set conn = CreateObject("ADODB.Connection")
conn.Provider = "SQLOLEDB"
conn.ConnectionString = "Data Source=(local);Integrated Security=SSPI;Initial Catalog=Master"
conn.Open

Dim rs
Set rs = conn.Execute("print 'Foo'" & vbCrLf & "print 'Bar'" & vbCrLf & "raiserror ('xyz', 10, 127)")

Dim error
While not (rs is nothing)
    For Each error in conn.Errors
        MsgBox error.Description
    Next
    Set rs = rs.NextRecordSet
Wend