Check your import again. Also, make sure you don't have the "client framework" selected as your project version. For some bizarre reason projects will sometimes default to using the client framework instead of the full 3.x-4 framework. The client version is greatly pared down, I'm not sure if everything from System.Data is included or not.
healdem is also correct. Once it stops complaining about not knowing what an OleDbConnection is, it will start complaining about you trying to manipulate private fields/members outside of a method or event. You'll probably want to set that connection string either in the form's constructor (winforms) or onload (asp.net)
Noticed one more thing: I don't think
VB likes you using semicolons as line delimiters. It's been a while since I switched to C#, but it could be complaining about that as well.