[sql] Using Excel VBA to run SQL query

I am fairly new to SQL and VBA. I have written a SQL query that I would like to be able to call and run from a VBA sub in an excel workbook and then bring the query results into the workbook. I have found some subs online (stackoverflow and other places) that claim to do this but I am having trouble understanding them as they contain no explanation. For example, here is a sub that I found online:

Sub ConnectSqlServer()

    Dim conn As ADODB.Connection
    Dim rs As ADODB.Recordset
    Dim sConnString As String

    ' Create the connection string.
    sConnString = "Provider=SQLOLEDB;Data Source=INSTANCE\SQLEXPRESS;" & _
                  "Initial Catalog=MyDatabaseName;" & _
                  "Integrated Security=SSPI;"

    ' Create the Connection and Recordset objects.
    Set conn = New ADODB.Connection
    Set rs = New ADODB.Recordset

    ' Open the connection and execute.
    conn.Open sConnString
    Set rs = conn.Execute("SELECT * FROM Table1;")

    ' Check we have data.
    If Not rs.EOF Then
        ' Transfer result.
        Sheets(1).Range("A1").CopyFromRecordset rs
    ' Close the recordset
        rs.Close
    Else
        MsgBox "Error: No records returned.", vbCritical
    End If

    ' Clean up
    If CBool(conn.State And adStateOpen) Then conn.Close
    Set conn = Nothing
    Set rs = Nothing

End Sub

First of all, would this work? Second, what do I need to replace in the sub (it looks like provider, data source, initial catalog, etc) and where do I find the info to replace them with?

I hope this question is not too confusing and I appreciate your help!

Below is code that I currently use to pull data from a MS SQL Server 2008 into VBA. You need to make sure you have the proper ADODB reference [VBA Editor->Tools->References] and make sure you have Microsoft ActiveX Data Objects 2.8 Library checked, which is the second from the bottom row that is checked (I'm using Excel 2010 on Windows 7; you might have a slightly different ActiveX version, but it will still begin with Microsoft ActiveX):

Sub Module for Connecting to MS SQL with Remote Host & Username/Password

Sub Download_Standard_BOM()
'Initializes variables
Dim cnn As New ADODB.Connection
Dim rst As New ADODB.Recordset
Dim ConnectionString As String
Dim StrQuery As String

'Setup the connection string for accessing MS SQL database
   'Make sure to change:
       '1: PASSWORD
       '2: USERNAME
       '3: REMOTE_IP_ADDRESS
       '4: DATABASE
    ConnectionString = "Provider=SQLOLEDB.1;Password=PASSWORD;Persist Security Info=True;User ID=USERNAME;Data Source=REMOTE_IP_ADDRESS;Use Procedure for Prepare=1;Auto Translate=True;Packet Size=4096;Use Encryption for Data=False;Tag with column collation when possible=False;Initial Catalog=DATABASE"

    'Opens connection to the database
    cnn.Open ConnectionString
    'Timeout error in seconds for executing the entire query; this will run for 15 minutes before VBA timesout, but your database might timeout before this value
    cnn.CommandTimeout = 900

    'This is your actual MS SQL query that you need to run; you should check this query first using a more robust SQL editor (such as HeidiSQL) to ensure your query is valid
    StrQuery = "SELECT TOP 10 * FROM tbl_table"

    'Performs the actual query
    rst.Open StrQuery, cnn
    'Dumps all the results from the StrQuery into cell A2 of the first sheet in the active workbook
    Sheets(1).Range("A2").CopyFromRecordset rst
End Sub