Dim conn As ADODB.Connection
Dim rs As ADODB.Recordset
Dim cmd As New ADODB.Command

Set conn = New ADODB.Connection
Set rs = New ADODB.Recordset

conn.ConnectionString = "Provider=Microsoft.SQLSERVER.CE.OLEDB.3.5; Data Source= c:\test\db.sdf;Persist Security Info=False"
conn.Open


cmd.ActiveConnection = conn
cmd.CommandText = "SELECT * FROM HISTORY"
Set rs = cmd.Execute

...

conn.Close

With ThisWorkbook.PivotCaches(1)
    If .CommandText = "SQL Запрос" Then
        .Connection = "ODBC строка подключения"
        .Refresh
    Else
        .EnableRefresh = True
        .CommandType = xlCmdSql
        .SavePassword = True
        .Connection = "ODBC строка подключения"
        .CommandText = "SQL Запрос"
        .RobustConnect = xlAlways
        .EnableRefresh = True
    End If
  
End With