I was using MSSQL connection open in my vb6 file

    Dim cnn As ADODB.Connection
    Dim rst As ADODB.Recordset
    Set cnn = New ADODB.Connection
    cnn.Open strConn 'where the error was thrown as in my question

I migrated to aspx web site and

1. set permission for the exe to everyone

2. then I called Process.Start from C# aspx website as per this answer

    Process proc = new Process();
    proc.StartInfo.FileName = "SAP_to_MSSQL.exe";
    proc.WorkingDirectory = @"D:\exepath\";
    proc.StartInfo.UseShellExecute = true;
    proc.StartInfo.Verb = "runas";
    proc.Start();

and it runs fine from my IIS-hosted aspx web site. Thanks