I know. Marked solved, but since i had the same thing....
Let me guess: you single-stepped through your code, and that message popped up at the Codeline, where you connect to the DB (MyConnection.Open or MyConnection.Connected:=True).
I just put a Breakpoint at the NEXT codeline (after opening the Connection), and in the codeline prior to it, i hit RUN....
Voila! Can still debug and what not