vb script in Newform.aspx to access table in SQL Databse

We can edit newform.aspx of a list using Frontpage 2003. And in there, we
can add in vbscript. Has anyone try to add in scripts to access tables in
MSSQL database? Or such script is always considered server-scripts and is not
allowed in Sharepoint? Is there any other way?

My script has this line:
Set cnn = Server.CreateObject("ADODB.Connection")

Thanks for any enlightenment.