I get this error:

I'm not sure but you can change 'c:\inetpub\wwwroot\BajaSalsa\BajaSalsa.mdb' to 'file://c:/inetpub/wwwroot/BajaSalsa/BajaSalsa.mdb'.

No it didn't work, came up browse can be found:  

file://c:/inetpub/wwwroot/BajaSalsa/BajaSalsa.mdb

Function LoadData....
DB = Session("DBCon")

Is the DB Connection always Open ?
How are you opening your Connection, Check where are you providing the Connection String
The Error is quite obvious its not able to find the Access Database file,

No that didn't either.  The database is being connected through Global.asax (only)

This is from uc_shopping_cart.ascx

Public MustInherit Class uc_shopping_cart
    Inherits System.Web.UI.UserControl
    Protected WithEvents Image1 As System.Web.UI.WebControls.Image
    Protected WithEvents cmdSaveCart As System.Web.UI.WebControls.Button
    Protected WithEvents cmdLoadCart As System.Web.UI.WebControls.Button
    Protected WithEvents cmdEmptyCart As System.Web.UI.WebControls.Button
    Protected WithEvents cmdCheckOut As System.Web.UI.WebControls.Button
    Protected WithEvents lblCartStatus As System.Web.UI.WebControls.Label
    Protected WithEvents DGrid As System.Web.UI.WebControls.DataGrid
    Protected WithEvents lblCartCount As System.Web.UI.WebControls.Label
    Protected WithEvents TD1 As System.Web.UI.HtmlControls.HtmlTableCell
    Private UserCart As New CShoppingCart
#Region " Web Form Designer Generated Code "

    'This call is required by the Web Form Designer.
    <System.Diagnostics.DebuggerStepThrough()> Private Sub InitializeComponent()

    End Sub

    Private Sub Page_Init(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Init
        'CODEGEN: This method call is required by the Web Form Designer
        'Do not modify it using the code editor.
        InitializeComponent()
    End Sub

#End Region

    Private Sub Page_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
        'Put user code to initialize the page here
        If IsPostBack Then
            DisableButtons()
            Me.lblCartCount.Text = UserCart.Display(Session("DBCon"))
        Else
            DisableButtons()
            LoadData()
        End If
    End Sub
    Private Sub LoadData()
        Try
            UserCart = Session("UserCart")
            Me.lblCartCount.Text = UserCart.Display(Session("DBCon"))
            If UserCart.Count < 1 Then Me.lblCartStatus.Text = "Shopping Cart is Empty"
            DGrid.DataSource = UserCart.DSCart(Session("DBCon"))
            DGrid.DataBind()
        Catch ex As System.Exception


        End Try
    End Sub

    Private Sub DisableButtons()
        Try
            If InStr(Request.Url.ToString, "check_out") <> 0 Then
                Me.cmdCheckOut.Visible = False
                Me.cmdEmptyCart.Visible = False
                Me.cmdLoadCart.Visible = False
                Me.cmdSaveCart.Visible = False
            End If
        Catch ex As System.Exception

        End Try
    End Sub

    Private Sub cmdSaveCart_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles cmdSaveCart.Click
        Try
            If Session("Customer") = 0 Then
                Response.Redirect("signin.aspx?return=cart")
            Else
                UserCart = Session("UserCart")
                Me.lblCartStatus.Text = UserCart.Save(Session("Customer"), Session("DBCon"))
                Session("UserCart") = UserCart
            End If
        Catch ex As System.Exception

        End Try
    End Sub

    Private Sub cmdLoadCart_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles cmdLoadCart.Click
        Try
            If Session("Customer") = 0 Then
                Response.Redirect("signin.aspx?return=cart")
            Else
                UserCart = Session("UserCart")
                Me.lblCartStatus.Text = UserCart.Load(Session("Customer"), Session("DBCon"))
                Me.lblCartCount.Text = UserCart.Display(Session("DBCon"))
                Session("UserCart") = UserCart
                LoadData()
                Me.lblCartStatus.Text = ""
            End If
        Catch ex As System.Exception

        End Try
    End Sub

    Private Sub cmdEmptyCart_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles cmdEmptyCart.Click
        Try
            UserCart = Session("UserCart")
            UserCart.DeleteSavedCart(Session("Customer"), Session("DBCon"))
            UserCart.Clear()
            Me.lblCartCount.Text = UserCart.Display(Session("DBCon"))
            Session("UserCart") = UserCart
            LoadData()
            Me.lblCartStatus.Text = ""
        Catch ex As System.Exception

        End Try
    End Sub

    Private Sub DGrid_EditCommand(ByVal source As Object, ByVal e As System.Web.UI.WebControls.DataGridCommandEventArgs) Handles DGrid.EditCommand
        Try
            Dim itemCell As TableCell = e.Item.Cells(0)
            Dim item As String = itemCell.Text
            Dim txtQuantity As TextBox = e.Item.Cells(1).Controls(1)
            Dim Quantity As String = txtQuantity.Text
            UserCart = Session("UserCart")
            UserCart.Edit(Quantity, item)
            Response.Write("<bgsound src='images/ching.wav' id='ching' loop='1'>")
            Me.lblCartCount.Text = UserCart.Display(Session("DBCon"))
            Session("UserCart") = UserCart
            LoadData()
        Catch ex As System.Exception


        End Try
    End Sub


    Private Sub cmdCheckOut_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles cmdCheckOut.Click
        Response.Redirect("check_out.aspx?return=check")
    End Sub

End Class

The problem lies in the code where you are opening the DB Connection
Check your Connection String, is it pointing to the MDB file properly ?
Use Relative Path and Server.MapPtah function, try to debug and see if the Path taken is right

Thanks for the help, I have everything working the connection is fine.  My problem is I want to add a new web form and hyperlink or do I need the code somewhere to access index.aspx instead of hyperlink.  I’m new to this, so I’m really sure about the coding part.

Here is my connection code for the Global.asax:

Imports System.Web
Imports System.Web.SessionState

Public Class Global
    Inherits System.Web.HttpApplication

#Region " Component Designer Generated Code "

    Public Sub New()
        MyBase.New()

        'This call is required by the Component Designer.
        InitializeComponent()

        'Add any initialization after the InitializeComponent() call

    End Sub

    'Required by the Component Designer
    Private components As System.ComponentModel.IContainer

    'NOTE: The following procedure is required by the Component Designer
    'It can be modified using the Component Designer.
    'Do not modify it using the code editor.
    <System.Diagnostics.DebuggerStepThrough()> Private Sub InitializeComponent()
        components = New System.ComponentModel.Container
    End Sub

#End Region

    Sub Application_Start(ByVal sender As Object, ByVal e As EventArgs)
        ' Fires when the application is started
    End Sub

    Sub Session_Start(ByVal sender As Object, ByVal e As EventArgs)
        Dim UserCart As New CShoppingCart
        Try
            ' Fires when the session is started
            Session("DBCon") = DBCon()
            Session("UserCart") = UserCart
            Session("Customer") = 1
        Catch ex As System.Exception
        Finally

        End Try
    End Sub


    Function DBCon() As System.Data.OleDb.OleDbConnection
        Try
            Dim Path As String = Server.MapPath(".") & "\BajaSalsa.mdb"
            'Build Connection String
            Dim CString As String = "Provider=Microsoft.Jet.OLEDB.4.0; Data Source=" & _
                Server.MapPath("BajaSalsa.mdb")
            'Open Database
            DBCon = New System.Data.OleDb.OleDbConnection(CString)
            DBCon.Open()
        Catch

        End Try
    End Function

    Function CloseDBCon(ByVal m_DBCon As System.Data.OleDb.OleDbConnection) As Boolean
        Try
            m_DBCon.Close()
        Catch

        End Try
    End Function

    Sub Application_BeginRequest(ByVal sender As Object, ByVal e As EventArgs)
        ' Fires at the beginning of each request
    End Sub

    Sub Application_AuthenticateRequest(ByVal sender As Object, ByVal e As EventArgs)
        ' Fires upon attempting to authenticate the use
    End Sub

    Sub Application_Error(ByVal sender As Object, ByVal e As EventArgs)
        ' Fires when an error occurs
    End Sub

    Sub Session_End(ByVal sender As Object, ByVal e As EventArgs)
        Session("UserCart") = Nothing
        CloseDBCon(Session("DBCon"))
    End Sub

    Sub Application_End(ByVal sender As Object, ByVal e As EventArgs)
        ' Fires when the application ends
    End Sub

End Class

I'm not an expert, but if I understand correctly - try to link to another location on the index page.  Is it possible to link to one of the HTML codes in the Index.aspx?  

Index.aspx (HTML)
%@ Page Language="vb" AutoEventWireup="false" Codebehind="index.aspx.vb" Inherits="BajaSalsa.index" %>
>
<title>BajaSalsa Shopping Cart</title>

<asp:hyperlink id="HyperLink2" runat="server" NavigateUrl="index.aspx?category=1">Salsa Original Chunky</asp:hyperlink></P>
<asp:hyperlink id="HyperLink3" runat="server" NavigateUrl="index.aspx?category=2">Salsa Fire Roasted</asp:hyperlink></P>
                              

When you link to       index.aspx?category=1
all it will do is go to the Index.aspx page and pass it a QueryString called Category with value 1
So in your code say on Page_Load you should do whatever you want to do with this QueryString

In case you want that the hyperlink should directly take you to a section of your page, say for eg Index.aspx page is a very long page and you want that the Hyperlink should take you to the bottom of the page directly (this is waht I gather from  "try to link to another location on the index page") then that's fairly possible

put  <A HREF="#MyLocation"></a>   this code at the place in the page where you want to be then in the Hyperlink controls NavigateUrl property say this   "index.aspx#MyLocation"

Hope that's what you wanted