Connect to SQL Server

Reference - MrExcel

Tools -> References -> Microsoft ActiveX Data Objects 2.8 Library

Sub ConnectSqlServer()

    Dim conn As ADODB.Connection
    Dim rs As ADODB.Recordset
    Dim sConnString As String

    ' Create the connection string.
    sConnString = "Provider=SQLOLEDB;Data Source=INSTANCE\SQLEXPRESS;" & _
                  "Initial Catalog=MyDatabaseName;" & _
                  "Integrated Security=SSPI;"

    ' Create the Connection and Recordset objects.
    Set conn = New ADODB.Connection
    Set rs = New ADODB.Recordset

    ' Open the connection and execute.
    conn.Open sConnString
    Set rs = conn.Execute("SELECT * FROM Table1;")

    ' Check we have data.
    If Not rs.EOF Then
        ' Transfer result.
        Sheets(1).Range("A1").CopyFromRecordset rs
    ' Close the recordset
        MsgBox "Error: No records returned.", vbCritical
    End If

    ' Clean up
    If CBool(conn.State And adStateOpen) Then conn.Close
    Set conn = Nothing
    Set rs = Nothing

End Sub

For more info about connection strings: