te falta abrir la conexion :
Código vb.net:
Ver originalTry
Dim cnn As New SqlConnection
cnn.ConnectionString = "data source= " & cmbservidor.Text & ";" & "database= " & txtbasededatos.Text & ";" & " user= " & txtusuario.Text & ";" & " Password= " & txtcontraseña.Text
obj = "execute SP_Contabilidad values(" + mes + "," + "," + diaI + "," + diaF + "," + tipo + ")"
cnn.Open()
Dim cmd As New SqlCommand(obj, cnn)
Catch ex As Exception
End Try