So was hacking a new installer and wanted to display the data link properties dialog, for building a connection string.
Here is what I have found out by playing with it.
One has to add the reference to ADODB.DLL (from .NET reference) and Microsoft OLE DB Service Component 1.0 Type Library from the COM tab in your visual studio reference tab.

Here is some sample code, assuming that you have a button and a textbox on the screen.

And here is how it looks like

Once a user clicks on build, the Data Link Properties Shows up.

Also note: that I am providing some default into the connection, since if you do not provide “Provider=SQLOLEDB.1” then the default is just OLE database not the MSSQL database option.