The DB toolkit works with ADO which requires that you use a connection string.
You can do this in one of two ways: either create the string yourself (the format depends on the database you use and can be found online) or use the built-in Windows interface by creating a new file with the UDL extension and then double clicking it. If you have the correct software installed, this should open a wizard you can use to set up your connection. You should then be able to point to that UDL file to open your connection.
There should be a couple of examples which come with the toolkit. You should be able to find it in the Help menu or in the example finder (Help>>Find Examples).
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