Have you created an ODBC Driver? If not, go to Control panel->Administrative Tools ->Data Sources (ODBC), double -click it and choose the System DSN tab.Click Add and find Microsoft Access Driver. On the next screen, click select and choose your database. After that define an alias name in the "data source name" textbox.Make the change below in your script:
Set Conn = Server.CreateObject("ADODB.Connection")
Conn.Open "DSN=the_alias_name"
The other way around is a DSN-less connection, in which you have to define the Driver and the physical path to the database in one big string :). More info on this link:
http://www.able-consulting.com/ADO_Conn.htm
Take a look at DNSLess Connection and OLEDB Provider For Microsoft Jet
Cheers
Kostas Lagos