我想动态的更改ConnectionSource的连接字符，请问该怎么办？

你说的没有错,只是不使用 Set 就可以了,而直接用
Dim Report_Data As New ADODB.Connection
Private Sub DataEnvironment_Initialize()
    With Report_Data
        .ConnectionString = "Provider=Microsoft.Jet.OLEDB.4.0;Data Source=" & FilePath & ";Persist Security Info=False"
        .Open
    End With
    DataEnvironment1.Connection1 = Report_Data
End Sub
参考
http://www.csdn.net/expert/topic/596/596497.xml?temp=.4907648