From what I gather, the Jet OLEDB provider will only handle comma separated values text files. However, if you have an interesting format you want to access through OLEDB, Microsoft does make that very easy. You just have to write a custom OLEDB provider. I have never written one, but they don't look that hard to do. Fortunately, my good friend Dino Esposito wrote an excellent article for the June 1999 Microsoft Systems Journal that shows you exactly what you need to do. You can read his article or search for "Exposing Your Custom Data In a Standard Way Through ADO and OLE DB" on your MSDN CD.
This was first published in March 2001