.NET Framework 2.0 includes a very low level trace facility for ADO.NET. Below are the basic steps to get tracing up and running.
1) Activate the tracing DLL. Framework 2.0 ships with AdoNetDiag.dll. This contains the ADO.NET tracing providers. To activate it, make the following registry entry (note the : in front of Path):

2) Register the ADO.NET tracing providers with WMI:

3) Setup tracing in the performance monitor:
3a) Create a new tracing log, name it whatever you like:

3b) On the general tab, select Nonsystem providers and add the following:

3c) On the Log Files tab, use the Configure button to change the log file location:

4) Start tracing by pressing the run button:

5) Run your ADO.NET code.
6) Stop the trace by pressing the stop button (to the right of the run button).
7) Convert the trace file to a CSV text file:

8) open the CSV file with Excel (or Notepad):

For more detail, see http://msdn.microsoft.com/library/default.asp?url=/library/en-us/dnadonet/html/tracingdataaccess.asp.