In the multiphase data pump example the connection is:
sConn = "Provider=SQLOLEDB;Data Source=(local);" & _
    "Initial Catalog=Wrox_Temp;User ID=sa;Password=; "

The Initial Catalog is tempdb, but I'm using one I created to save the work.

I've been using Windows Authentication, and I'm not sure how to set up the connection string for that. I tried taking User ID and Password out of the string but that didn't work.

Thanks.

I removed the user id and password and added Trusted_Connection=Yes and that did the trick.