Hi Vijay,
You will need to install PS Utilities in SAP GUI.
There is a standard program RIACCESS have a look at it it explains a lot
Also have a look at OSS note 826163 for issues in connectivity
SAP Note 443027 - MS Access Interface - Access 97, 2000, 2002, 2003
SAP Note 599726 - MS Access Interface - Release 2.0.0
I hope it helps.
Regards