Start a new Standard .exe project in Visual Basic. Form1 is created by default.
From the Project menu, choose References and then select "Microsoft ActiveX Data Objects 2.0 Library".

Add the following code to your form.

Note You must change UID <username> and PWD <strong password> to the correct values before you run this code. Make sure that UID has the appropriate permissions to perform this operation on the database.

      Dim cnPubs As ADODB.Connection
      Dim rsBatch As ADODB.Recordset

      Private Sub Form_Load()
       Dim strConn As String
       Dim strSQL As String

       strConn = "Provider=MSDASQL;Driver={SQL Server};" & _
                 "Server=YourServer;Database=pubs;UID=<user name>;PWD=<strong name>;"
       Set cnPubs = New ADODB.Connection
       cnPubs.CursorLocation = adUseClient
       cnPubs.Open strConn

       strSQL = "SELECT * FROM Authors;" & _
                "SELECT * FROM Employee;" & _
                "SELECT * FROM Jobs"
       Set rsBatch = New ADODB.Recordset
       rsBatch.Open strSQL, cnPubs, adOpenStatic, _
                    adLockOptimistic, adCmdText

       If MsgBox("Disconnect the recordset?", vbYesNo) = vbYes Then
           Set rsBatch.ActiveConnection = Nothing
       End If

       Do
           Debug.Print rsBatch(0).Name & " = "  rsBatch(0)
           Set rsBatch = rsBatch.NextRecordset
       Loop Until rsBatch Is Nothing

       cnPubs.Close
       Set cnPubs = Nothing
      End Sub

Modify the connection string as appropriate to connect to your SQL Server.
Run the project. When prompted, click Yes to disconnect the recordset. You then receive the error described in the SYMPTOMS section.
Run the project again. When prompted, click No to keep from disconnecting the recordset. You then successfully retrieve the remaining recordsets in the batch query.