I don't know if you need the loop. If all you are doing is grabbing the records in maprec that match for docrec and then the same for the second table then you can do this without a loop using inner join syntax.
select columnlist from maprec m inner join docrec d on (m.filedyear = d.yearfield and m.volume = d.volume and m.page=d.page)
and then again for the second table...
You could also trim up your queries to return only the columns needed instead of returning all if possible. This should help performance.
To create an index by yourself in SQL Server 2005, go to the design of the table and select the Manage Indexes & Keys toolbar item.
You can use the Database Engine Tuning Advisor. You can create a trace (using sql server profiler) of your queries and then the Advisor will tell you and create the indexes needed to optimize for your query executions.
UPDATE SINCE YOUR FIRST COMMENT TO ME:
You can still do this by running the first query then the second and third without a loop as I have shown above. Here's the trick. I am thinking you need to tie the first to the second and third one hence why you did a loop.
It's been a while since I have done VB6 recordsets BUT I do recall the ability to filter the recordset once returned from the DB. So, in this case, you could keep your loop but instead of calling SQL every time in the loop you would simply filter the resulting recordset data based on the first record. You would initialize / load the second & third query before this loop to load the data. Using the syntax above that I gave will load in each of those tables the matching to the parent table (docrec).
With this, you will still only hit the DB three times but still retain the loop you need to have the parent docrec table traversed so you can do work on it AND the child tables when you do have a match.
Here's a few links on ado recordset filtering....
http://www.devguru.com/technologies/ado/QuickRef/recordset%5Ffilter.html
http://msdn.microsoft.com/en-us/library/ee275540%28BTS.10%29.aspx
http://www.w3schools.com/ado/prop%5Frs%5Ffilter.asp
With all this said.... I have this strange feeling that perhaps it could be solved with just a left join on your tables?
select * from docrec d
left join maprec m on (d.YearFiled= m.FiledYear and d.Volume = m.Volume and d.Page = m.Page)
left join names n on (d.YearFiled = n.YearFiled and d.Volume = n.Volume and d.Page = n.Page)
this will return all DocRec records AND add all the maprec values and name values where it matches OR NULL if not.
If this fits your need it will only hit the DB once.