Yes it should be possible using ADO with the appropriate connection string. A simple example where SQL is used against a Microsoft Access database can be found on Formativ Applet Central:
12 Mar 2003 – SQL Example
This applet uses SQL to find records in a sample database and displays the results in a Formativ portal. Click here to download.
There are some other examples of using SQL with ADO in our BrainShare developer examples, available from our Formativ Resources page.
I hope this helps.