Ciao, questo dovrebbe funzionare:
Dim RS As New ADODB.Recordset
Dim CN As New ADODB.Connection
Dim X As Integer
'apri la connessione poi
RS.Source = "SELECT * FROM [Tabella]"
RS.ActiveConnection = CN
RS.Open
grd.Cols = RS.Fields.Count - 1
For X = 0 To grd.Cols - 1
grd.TextMatrix(0, X) = RS.Fields(X).Name
Next X