How to set "Application Name" in ADODB connection string

Question

In .NET I simply use Application Name = MyApp inside the connection string, but when using ADO connection through VBA the Activity Monitor of the SQL Server Management Studio always shows Microsoft Office 2010 in Processes on the Application column no matter what name I set on the VBA code.

conn.ConnectionString = "UID=" & UID & ";PWD=" & PWD & ";DSN=" & DSN & _
    ";Application Name = MyApp"

How can I set the application name for monitoring purposes?