A SQL Server connection is made to the database server, unlike Access where a connection is made to a single database, so this connection mode cannot be supported in SQL Server (OK you can specify the initial db in the conn string, but no locks are created at this stage). What you do instead will depend on why you feel you need to shut all other users out of the database entirely. I suggest you start by reading up on transaction support in SQL Server, particularly Isolation Levels.
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