SQL Server Application roles

I started using application roles but I have problems with database queries
that are executed in separated threads.

This is the scenario:
1) I connect to SQL Server 2005 with a user that only has CONNECT
permissions (i.e no permissions for select, update, etc.)
2) I execute sp_setapprole with an application role that has full access to
databases (just for testing).
3) Everything goes ok, I conect to table, open queries, etc., BUT if I
execute queries in a separated thread I get a "You haven't SELECT permission
on table XXX".

I read http://support.microsoft.com/default.aspx?scid=KB;EN-US;Q229564 about
OLEDB resouces pooling. I tried including the "OLE DB Services= -2" string
in ADOConnection.ConnectionString but It didn't seem to help.

Other ideas?


.

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