Set cnSQL = New ADODB.Connection 'cnSQL.Open "ODBC;DRIVER=SQL Server; Authentication = ActiveDirectoryInteractive; Database=XXXXX; Data Source=XXXX.database.windows.net"
This should give you what you need.
You'll have to download the ODBC Driver 17 for SQL Server and depending on your connection type you can update Authentication option
Sub AdoOdbcExample()
Dim con As Object
Set con = CreateObject("ADODB.Connection")
con.Open _
"Driver={ODBC Driver 17 for SQL Server};" & _
"Server=tcp:yourserver.database.windows.net,1433;" & _
"Database=yourdb;" & _
"Trusted_Connection=no;" & _
"Authentication=ActiveDirectoryInteractive;" & _
"UID=youremail;"
con.Execute "UPDATE Clients SET FirstName='Gord' WHERE ID=5;"
con.Close
Set con = Nothing
'Authentication=ActiveDirectoryIntegrated
'Authentication=ActiveDirectoryInteractive
'ActiveDirectoryPassword
End Sub