I have an Excel document that has a macro which when run will modify a CommandText of that connection to pass in parameters from the Excel spreadsheet, like so:
You could use a function that takes the OLEDBConnection and the parameters to be updated as inputs, and returns the new connection string. It's similar to Jzz's answer but allows some flexibility without having to edit the connection string within the VBA code each time you want to change it - at worst you'd have to add new parameters to the functions.
Function NewConnectionString(conTarget As OLEDBConnection, strCatalog As String, strDataSource As String) As String
NewConnectionString = conTarget.Connection
NewConnectionString = ReplaceParameter("Initial Catalog", strCatalog)
NewConnectionString = ReplaceParameter("Data Source", strDataSource)
End Function
Function ReplaceParameter(strConnection As String, strParamName As String, strParamValue As String) As String
'Find the start and end points of the parameter
Dim intParamStart As Integer
Dim intParamEnd As Integer
intParamStart = InStr(1, strConnection, strParamName & "=")
intParamEnd = InStr(intParamStart + 1, strConnection, ";")
'Replace the parameter value
Dim strConStart As String
Dim strConEnd As String
strConStart = Left(strConnection, intParamStart + Len(strParamName & "=") - 1)
strConEnd = Right(strConnection, Len(strConnection) - intParamEnd + 1)
ReplaceParameter = strConStart & strParamValue & strConEnd
End Function
Note that I have modified this from existing code that I have used for a particular application, so it's partly tested and might need some tweaking before it totally meets your needs.
Note as well that it'll need some kind of calling code as well, which would be (assuming that the new catalog and data source are stored in worksheet cells):
Sub UpdateConnection(strConnection As String, rngNewCatalog As Range, rngNewSource As Range)
Dim conTarget As OLEDBConnection
Set conTarget = ThisWorkbook.Connections.OLEDBConnection(strConnection)
conTarget.Connection = NewConnectionString(conTarget, rngNewCatalog.Value, rngNewSource.Value)
conTarget.Refresh
End Sub