Try the following Code, It works for me...

This code defined two classes:

ADOConnectionDialog - a component that use can add to the visual
studio toolbox and use like OpenFileDialog.
ADOConnectionEditor - an editor that is used to edit the
ConnectionString in the propertygrid.
to use it just mark your ConnectionString property with this
attributes:
[Browsable(true)]
[Editor(typeof(ADOConnectionEditor),typeof(System.Drawing.Design.UITypeEditor))]

(see ADOConnectionDialog.ConnectionString property)

Hope this helps
Nadav

P.S. to use this code you have to add a reference to
System.Drawing.Design assembly.

--- source code follows: ---

using System;
using System.ComponentModel;
using System.Collections;
using System.Diagnostics;
using System.Windows.Forms;

using System.Drawing.Design;

    /// <summary>
    /// Summary description for ADOConnectionDialog.
    /// </summary>
    public class ADOConnectionDialog : System.ComponentModel.Component {
        /// <summary>
        /// Required designer variable.
        /// </summary>
        private System.ComponentModel.Container components = null;

        /// <summary>
        ///
        /// </summary>
        /// <param name="container"></param>
        public ADOConnectionDialog(System.ComponentModel.IContainer
container) {
            ///
            /// Required for Windows.Forms Class Composition Designer support
            ///
            container.Add(this);
            InitializeComponent();

            //
            // TODO: Add any constructor code after InitializeComponent call
            //
        }

        /// <summary>
        ///
        /// </summary>
        public ADOConnectionDialog() {
            ///
            /// Required for Windows.Forms Class Composition Designer support
            ///
            InitializeComponent();

            //
            // TODO: Add any constructor code after InitializeComponent call
            //
        }

        /// <summary>
        /// Clean up any resources being used.
        /// </summary>
        protected override void Dispose( bool disposing ) {
            if( disposing ) {
                if(components != null) {
                    components.Dispose();
                }
            }
            base.Dispose( disposing );
        }

        private string _ConnectionString="";

        /// <summary>
        ///
        /// </summary>
        [Browsable(true)]
        [Editor(typeof(ADOConnectionEditor),typeof(System.Drawing.Design.UITypeEditor))]
        public string ConnectionString {
            get { return _ConnectionString; }
            set { _ConnectionString=value; }
        }

        /// <summary>
        ///
        /// </summary>
        /// <returns></returns>
        static public DialogResult ShowDialog(ref string ConnectionString )
{
            MSDASC.DataLinks mydlg = new MSDASC.DataLinks();
            ADODB._Connection adoCon=null;
            if (ConnectionString==null || ConnectionString=="") {
                adoCon=(ADODB._Connection)mydlg.PromptNew();
            } else {
                adoCon=new ADODB.ConnectionClass();
                adoCon.ConnectionString=ConnectionString;
                object x=adoCon;
                if (mydlg.PromptEdit(ref x)) {
                    adoCon=x as ADODB._Connection;
                }
            }
            if (adoCon==null) {
                return DialogResult.Cancel;
            } else {
                ConnectionString=adoCon.ConnectionString;
                return DialogResult.OK;
            }
        }

        /// <summary>
        ///
        /// </summary>
        /// <returns></returns>
        public virtual DialogResult ShowDialog() {
            return ADOConnectionDialog.ShowDialog(ref _ConnectionString);
        }

        #region Component Designer generated code
        /// <summary>
        /// Required method for Designer support - do not modify
        /// the contents of this method with the code editor.
        /// </summary>
        private void InitializeComponent() {
            components = new System.ComponentModel.Container();
        }
        #endregion
    }
   
    /// <summary>
    ///
    /// </summary>
    public class ADOConnectionEditor : System.Drawing.Design.UITypeEditor
{
        /// <summary>
        ///
        /// </summary>
        /// <param name="provider"></param>
        /// <param name="value"></param>
        /// <returns></returns>
        public override System.Object EditValue (
System.ComponentModel.ITypeDescriptorContext context ,
System.IServiceProvider provider , System.Object value ) {
            string ConnectionString=(value==null)?"":value.ToString();
            if (ADOConnectionDialog.ShowDialog(ref
ConnectionString)==DialogResult.OK) {
                return ConnectionString;
            } else {
                return value;
            }
        }

        /// <summary>
        ///
        /// </summary>
        /// <returns></returns>
        public override System.Drawing.Design.UITypeEditorEditStyle
GetEditStyle ( System.ComponentModel.ITypeDescriptorContext context )
{
            return UITypeEditorEditStyle.Modal;
        }

        /// <summary>
        ///
        /// </summary>
        /// <returns></returns>
        public override bool GetPaintValueSupported(
System.ComponentModel.ITypeDescriptorContext context ) {
            return false;
        }

    }