This topic discusses how to set up a DSN (ODBC Data Source Name) for a Microsoft Access database connection. DSNs for other databases will be similar. See the link at the bottom of this page for a resource enumerating DSNs for several popular database types.
NOTE: The screenshots may look somewhat different depending on your particular version of Windows.
Select "Microsoft Access Driver", then click the Finish button.
Enter a name in the field "Data Source Name". For example, you can name it MyDatabase.
Click the OK button after you have selected the Access database.
See www.connectionstring.com for some example DSNs for popular databases.