This can be easily done by using map network drive in Network Neighbourhood or My Computer but it can be useful to be able to do this in Visual Basic.  I will now show you how to do this using Windows API.  Here is the example: Also includes how to delete a connection.
Start a new Standard-EXE project, form1 is created by default
Add a standard module and add a command button to form1
Type the following in the standard module.

Option Explicit

Declare Function WNetAddConnection Lib "mpr.dll" Alias _
"WNetAddConnectionA" (ByVal lpszNetPath As String, _
ByVal lpszPassword As String, ByVal lpszLocalName _
As String) As Long

Declare Function WNetCancelConnection Lib "mpr.dll" _
Alias "WNetCancelConnectionA" (ByVal lpszName _
As String, ByVal bForce As Long) As Long

Const WN_SUCCESS = 0 ' The function was successful.
Const WN_NET_ERROR = 2 ' An error occurred on the network.
Const WN_BAD_PASSWORD = 6 ' The password was invalid.

Function AddConnection(MyShareName As String, _
MyPWD As String, UseLetter As String) As Integer

On Local Error GoTo AddConnection1_Err

AddConnection = WNetAddConnection(MyShareName, _
MyPWD, UseLetter)
AddConnection_End:

Exit Function

AddConnection_Err:
AddConnection = Err
MsgBox Error$

Resume AddConnection_End

End Function

Function CancelConnection(DriveLetter As String, _
Force As Integer) As Integer

On Local Error GoTo CancelConnection_Err
CancelConnection = WNetCancelConnection(DriveLetter, _
Force)
CancelConnection_End:

Exit Function

CancelConnection_Err:
CancelConnection = Err
MsgBox Error$

Resume CancelConnection_End

End Function

to add a connection call by:
varible = AddConnection(<SharePath>, <Password>, <DriveLetter>)

To cancel a connection type:
varible = CancelConnection(<SharePath, <Force>)

Run the project.