First thing to check is wether or not the #import created the header and implementation files. For example, the following #import line should have created msado15.tlh and msado15.tli (tlh = header, tli = implementation).

#include
#include
#include

#import no_namespace rename( "EOF", "adoEOF" )

void main()
{
HRESULT hResult = S_OK;
_ConnectionPtr pConnection = NULL;

if(FAILED(::CoInitialize(NULL)))
return;

hResult = pConnection.CreateInstance(__uuidof(Connection));
pConnection = NULL;

::CoUninitialize();
}