In this entry over at CLRSQL- Technology and Current Events, Reloaded, I explain how commands can be executed using the in-proc data provider's connection context.
Note that I've also added a categoy for SQL Server 2005 posts and may be breaking out a separate feed or creating an archive page in the near future.
UPDATE- The CLRSQL site seems to be down, so you may have trouble accessing the new post. Will update when it is back up.
UPDATE II- As of 12:45 central time, the link is working.