>That's what I thought. I have been looking at the connection string syntax to see if something like that would be supported but I was not able to find anything in regards to that. If at least I can have something at the create connection level, that would be ok.

From BOL:
"The SQL Native Client ODBC driver and SQL Native Client OLE DB Provider for SQL Server automatically set ANSI_WARNINGS to ON when connecting. This can be configured in ODBC data sources, in ODBC connection attributes, or OLE DB connection properties set in the application before connecting."

Can you configure connection properties?