Usually Command objects are used when dealing with paramtised queries, such as SQL Server stored procedures. You can just Exec a sproc using objConn.Execute, however I prefer to use a Command object as that gives you a modicum of value typing, and allow easy access to output parameters and return values.
Additionally, the code ends up a lot easier to read!
Lastly, using a command object and parameter objects means you don't have to worry about sanitising your input (eg replacing ' with '') to avoid SQL Injection attacks.
(assuming you are not building a dynamic SQL string in your sproc and executing it)
Microsoft MVP - Windows Server (IIS)