Step 1: Click the Datagrid and in the properties please find Datasource and type the name of your ADODC.

Step 2: Right Click the ADODC then you will see the Property Pages. After that Click Build to connect into database.
Step 3: Click the Microsoft Jet 4.0 OLE DB Provider and then Next.
Step 4: Click the Connection and then as you can see the small red circle is the next to click then show the select access database.