Open Connection

I was working on a site an I forgot to open up a connection to my database, but it connected anyway.For example here is the code to create the recordset I am using

connb4b = "DSN=b4b2005" 'i left out the uid and pwd of course for obvious security reasons

set myRecordSet = Server.CreateObject("ADODB.Recordset")
mySQL = "SELECT * FROM inn WHERE inn_code = '" & myInnCode & "'"
myRecordSet.Open mySQL, connB4B, 2, 3

Anyway, the above code created the recordset fine. Do you not have to open a connection to the database, but just pass it the connection string in the open command of the recordset?