If you are seeing the permission error below for OleDB, then you need to make sure your website is running in Full Trust. Please see article:
http://support.webecs.com/KB/a672/changing-the-default-aspnet-trust-level.aspx?KBSearchID=0
System.Security.SecurityException: Request for the permission of type 'System.Data.OleDb.OleDbPermission, System.Data, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089' failed.
at System.Security.CodeAccessSecurityEngine.Check(Object demand, StackCrawlMark& stackMark, Boolean isPermSet)
at System.Security.CodeAccessSecurityEngine.Check(PermissionSet permSet, StackCrawlMark& stackMark)
at System.Security.PermissionSet.Demand()
at System.Data.Common.DbConnectionOptions.DemandPermission()
at System.Data.OleDb.OleDbConnection.PermissionDemand()
at System.Data.OleDb.OleDbConnectionFactory.PermissionDemand(DbConnection outerConnection)
at System.Data.ProviderBase.DbConnectionClosed.OpenConnection(DbConnection outerConnection, DbConnectionFactory connectionFactory)
at System.Data.OleDb.OleDbConnection.Open()