The connection string you're using, considering the OLE DB provider, is correct. I didn't find any error in the connection string used, if you want to connect to a SQL Server data source.
Most probably, the reason of that error should be that you're not using correctly all the classes and objects required by the OLE DB provider, like OleDbCommand (that is similar to a SqlCommand but it's different), OleDbConnection, OleDbDataAdapter and so on. In a nutshell, the reason of that error should be this:
string connStr = "Provider=SQLOLEDB;Data Source=<servername>;Initial Catalog=<dbname>;Integrated Security=SSPI";
using(SqlConnection scn = new SqlConnection(connStr))
{
....
}
Indeed, using a SqlConnection object, the ConnectionString property doesn't support the keyword Provider and, executing your application, you got an error about a keyword not supported.
Have a look at this simple tutorial about the use of OLE DB provider.