SP_WHO2 and several other tools will tell you the ProgramName of a spid.  However the result is very vague.  For example, if an Office application has opened the connection then the ProgramName simply says "Microsoft Office 2003".  What I am after is the actual file name that opened the connection.  We have a large number of Access applications and I need to know which one is opening which connections.  In reality I would like to know the name of the query that is reading the database, but that is probably not possible.

--You can easily see the last statement sent from a client to an instance
--of Microsoft SQL Server by looking at DBCC inputbuffer, but I guess that
--it is the actual Access query that you want to know about. 

--However, this might help to see what is going on in a database

CREATE PROCEDURE spMySpids 
@Database SYSNAME --the name of the database
AS
--spMySpids 'NorthWind'
DECLARE @DynamicSQL VARCHAR(MAX)

SELECT @DynamicSQL='Declare @MySpids table 
	(
	MySpid_ID int identity(1,1),
	spid int,
	EventType nvarchar(30),--Event type. This could be RPC 
					--Event or Language Event. 
					--The output will be No Event when no 
					--last event was detected.
	Parameters int,  --0 = Text 1- n = Parameters
	EventInfo nvarchar(4000) --For an EventType of RPC, 
					--EventInfo contains only the procedure name. 
	--For an EventType of Language, only the first 4000 characters 
					--of the event are displayed.
	)
'

SELECT @DynamicSQL=@DynamicSQL+'
insert into @MySpids (EventType, Parameters, EventInfo)
	execute (''dbcc inputbuffer ('+CONVERT(VARCHAR(5),spid)+')'')
update @MySpids set spid='
     +CONVERT(VARCHAR(5),spid)
     +' where MySpid_ID=@@identity
'
FROM MASTER.dbo.sysprocesses WHERE dbid=DB_ID (@database)

SELECT @DynamicSQL=@DynamicSQL+'
Select * from @MySpids'

EXECUTE (@DynamicSQL)