1. Dim cn As New ADODB.Connection
2. Dim rs As ADODB.Recordset
3. Dim strSQL As String
4.  
5. strSQL = "Select * from Employees ORDER BY [LastName],[FirstName];"
6.  
7. Set rs = New ADODB.Recordset
8.  
9. With rs
10.   .Source = strSQL
11.   .ActiveConnection = CurrentProject.Connection
12.   .CursorType = adOpenDynamic
13.   .LockType = adLockOptimistic
14.     .Open
15.  
16.    Do While Not .EOF
17.      Debug.Print UCase$(![LastName]) & ", " & ![FirstName]
18.        .MoveNext
19.    Loop
20. End With
21.  
22. rs.Close
23. Set rs = Nothing

You SHOULD replace the Nz with an IIf(IsNull()) construct as it's prone to Errors for NOT reason.

See documentation for IIf and IsNull

When put together:Nz(expr, [valueifnull])
becomesIIf(IsNull(expr), valueifnull, valueifnotnull)

Examples
Default: Nz(tbl.A) => IIf(IsNull(tbl.A), '', tbl.A)
With fallback: Nz(tbl.A, tbl.B) => IIf(IsNull(tbl.A), tbl.B, tbl.A)