help with DSN less connection please

I am trying to connect to my database using DSN less connection.
My connection string is something like this

cn.open "Provider=Microsoft.Jet.OLEDB.3.51;Persist Security Info=false;Data Source=D:\new\Cms.mdb"



when I execute this, it gives an error
err.description = 'Data source Name not found. No default driver specified'
err.source = 'OLEDB Provider'

Why does it ask for dsn when I am trying dsn less connetion.

Please help!