Normally you would make a command = a resordset.
Set objRs = objCmd.Execute
Here's the programmers guide http://msdn.microsoft.com/en-us/library/windows/desktop/ms675065(v=vs.85).aspx
Also not all commands can be done via ADODB according to the docs http://msdn.microsoft.com/en-us/library/windows/desktop/ms677502(v=vs.85).aspx.
Use a Command object to query a database and return records in a Recordset object, to execute a bulk operation, or to manipulate the structure of a database. Depending on the functionality of the provider, some Command collections, methods, or properties may generate an error when they are referenced.