How to change the code below to prevent what you see in the screenshot.

I am running a macro with the following code

Dim conn As ADODB.Connection
Dim rec1 As ADODB.Recordset
Dim thisSql As String

Set conn = New ADODB.Connection

Dim sConn As String
  sConn = "Provider=SQLOLEDB;Trusted_Connection=Yes;Server=xyz;Database=xyz;UID=xyz;PWD=xyz"
conn.Open sConn

' this is creating multiple connections.
Set rec1 = New ADODB.Recordset
rec1.Open thisSql, conn

which runs a SQL Server query (which is around 20 lines long and contains 4 joins). Everything is fine except for the fact that after a couple times of running it my DB admin says that my query is loading up the DB too much.

Now, my query could be causing the problem, or it could be that Excel is starting to run multiple connections at once. Some evidence for this is the screenshot below and the fact that the load on the database appears to increase with time.

How do I establish a DB connection without constantly creating new connections?

Has anyone had similar problems working with Excel DB macros?

UPDATE

While the answers below were very useful (especially for someone starting out in VBA), it seems that the main reason my query was taking up load was a combination of multiple connections and having overlooked a line in my code:

    With Sheets("FVols").QueryTables.Add(Connection:=rec1, Destination:=Sheets("FVols").Range("A1"))
    .name = "data"
    .FieldNames = True
    .Refresh BackgroundQuery:=True <<<<<<<<<<<<<<<<<<<<<<<-----

End With

You only need to open the connection once. That literally means you can execute multiple queries on that one active connection. You must close the connection and free the reference (specially with ADODB) to avoid running into collisions and other connection related problems.

If you know the queries you are going to be executing you can create an array (or collection) and add queries to the queue.

While you already have an open connection to work with you can keep executing queries.

Scan through code there is not much difference between yours and mine so you should be able to see what is going on and where. Please, ask questions in the comments if anything is unclear

   Sub DbConnection()

    Dim cn As ADODB.Connection
    Set cn = New ADODB.Connection
    Dim rs As ADODB.Recordset

    Dim strConn As String
    strConn = "Driver={SQL Server};Server=; Database=; UID=; PWD="

    cn.Open strConn

    Dim queryArr, i
    queryArr = Array("SELECT * FROM [MyTable]", "SELECT * FROM [MyOtherTable]")

    For i = LBound(queryArr) To UBound(queryArr)
        ExecuteQuery queryArr(i), cn, rs
    Next i

    cn.Close
    Set cn = Nothing
End Sub

Private Sub ExecuteQuery(query As Variant, ByRef cn As ADODB.Connection, ByRef rs As ADODB.Recordset)
    Set rs = New ADODB.Recordset
    With rs
        .ActiveConnection = cn
        .Open CStr(query)
        Sheets(1).Range("A1").CopyFromRecordset rs
        .Close
    End With
    Set rs = Nothing
End Sub

Now, you only need to execute the DBConnection() once and all the queries you listed in the array will be executed.

Alternatively, if your queries are created at run-time you can pass it to the DbConnection() as a parameter.

Sub DbConnection(queryQueue As Collection)

    Dim cn As ADODB.Connection
    Set cn = New ADODB.Connection
    Dim rs As ADODB.Recordset


    Dim strConn As String
    strConn = "Driver={SQL Server};Server=HELIUM\PRI; Database=sourcedata; UID=tabula; PWD=Tabula123!"

    cn.Open strConn

    For i = 1 To queryQueue.Count
        ExecuteQuery queryQueue.Item(i), cn, rs
    Next i

    cn.Close
    Set cn = Nothing
End Sub

Private Sub ExecuteQuery(query As Variant, ByRef cn As ADODB.Connection, ByRef rs As ADODB.Recordset)
    Set rs = New ADODB.Recordset
    With rs
        .ActiveConnection = cn
        .Open CStr(query)
        Sheets(1).Range("A1").CopyFromRecordset rs
        .Close
    End With
    Set rs = Nothing
End Sub

Update:

You can declare your connection as a Global Variable. Now you can run the DBConnection() as many times as you like and you will not be creating a new connection each time. Instead you will be using the global connection object.

Option Explicit

Public cn As ADODB.Connection

Sub DbConnection()

    Set cn = New ADODB.Connection
    Dim rs As ADODB.Recordset

    Dim strConn As String
    strConn = "Driver={SQL Server};Server=; Database=; UID=; PWD="

    cn.Open strConn

    Set rs = New ADODB.Recordset
    With rs
        .ActiveConnection = cn
        .Open "SELECT * FROM [MyTable]"
        Sheets(1).Range("A1").CopyFromRecordset rs
        .Close
    End With
    Set rs = Nothing

    cn.Close
    Set cn = Nothing
End Sub

Are you releasing the connection variable when you've finished with it? i.e.