I used code below to close connection, is it right?

      Try
            myConn.Open()
            mySQLCommand.ExecuteNonQuery()
        Catch ex As Exception
           'code to display error message
        Finally
            myConn.Close()
             mySQLCommand.Dispose()
            myConn.Dispose()
        End Try

Does it need "  mySQLCommand.Dispose()"?

That should work fine; but it is doing some extra work. myConn.Dispose() will automatically call myConn.Close(), so myConn.Close() is not needed. As for mySQLCommand.Dispose(), it isn't absolutely necessary, but it's probably a good idea to keep it.

http://social.msdn.microsoft.com/Forums/en-US/adodotnetdataproviders/thread/916a1734-3e19-43a1-95c7-e3a2cd18369d

Even better..It saves you the hassle of manually creating the try / finally block and calling Dispose().

Using cn As New SqlConnection(myConn) 

    Using cm As New SqlCommand(mySQLCommand, cn) 

        cn.Open() 

        cm.ExecuteNonQuery() 

    End Using 

End Using 

Refer this.. http://davidhayden.com/blog/dave/archive/2005/01/13/773.aspx

>Does it need "  mySQLCommand.Dispose()"?

One way of finding out is to run FXCOP with and wiithout the line commented out. You can get FXCOP from  http://www.microsoft.com/downloads/details.aspx?FamilyID=9aeaa970-f281-4fb0-aba1-d59d7ed09772&DisplayLang=en