Might be different than this depending on who you're hosted with, but I just created a file that I include on all pages needing a db connection. Here's the code I use:
<%
Dim dbconn, driverconn, db_server, db_name, db_username, db_userpassword
db_server = "hosted mysqlservername"
db_name = "YourDBName"
db_username = "YourDBUserName"
db_userpassword = "YourDBPassword"
driverconn = "Driver={MySQL ODBC 3.51 Driver};SERVER=" & db_server & ";DATABASE=" & db_name & ";UID=" & db_username & ";PWD=" & db_userpassword
%>
You will need to get the server information from your hosting company, and you'll have to check the version they're using - possibly change the ODBC driver version. Also, emailing your hosting company is typically the best way to go when having connection problems. Hope this helps somewhat!