You can establish an OLE DB connection from within the Add Data dialog. When you click the down arrow at the top of this dialog, you will see a list of the drives you are connected to, such as M:\GISDATA. Beneath the drive letters is an option for Database Connections.
From the Database Connections dialog, select ‘Add OLE DB Connection’. You will get a list of all the connection types available. Choose ‘Microsoft Jet 4.0 OLE DB Provider’. Click Next. Select the desired database (use the ellipse … to browse). Click the ‘Test Connection’ to test. Provided the connection tested properly, you will be returned to the first Database Connections dialog. The connection will appear as ‘OLE DB Connection.odb’. This is a default name assignment, you should click on this slowly to activate the rename functionality, and change the name to something that can be remembered.
Now double-click on the *.odb file. The tables and queries should be available for use in ArcMap.
Database connections can be managed from within ArcCatalog. Once a connection is established, it will be available for future projects as an option under ‘Database Connections’; you won’t need to create new connection definitions every time.