I had forgotten to add a reference to “Microsoft ActiveX Data Objects 2.5 Library”: This reference is required for early binding.
How to get to that reference:
Tools > References > Check the checkbox in front of “Microsoft ActiveX Data Objects 2.5 Library”
Other libraries that work include:
Microsoft ActiveX Data Objects 2.6 Library
Microsoft ActiveX Data Objects 2.7 Library
Microsoft ActiveX Data Objects 2.8 Library
Microsoft ActiveX Data Objects 6.1 Library