When connecting a database, DSN-less connections are superior to System DSN connections in performance. However, there will be no noticeable improvement in performance for smaller sites which have few concurrent connections only.
Although a DSN-less connection is operationally identical to a DSN but it doesn't have to access registry during connecting process. For DSN-less connection, all required information will be specified in the connection string instead of storing in registry.
In practice, you�re recommended to use OLEDB connections over these two type of connections. Why? It�s because OLEDB can provide better performance in database connections and faster access to data.
The Connection String for OLEDB would be:
"Provider=ProviderName; Data Source=DatabaseSource; Initial Catalog=DatabaseName; User ID=UserID; Password=Password"