You can do that through the control panel.
From the main (quick access) menu, click on the type of database you want to setup (also found in the toolbar under "Databases"). You have to first create a database. THen you can make your DSN. Click on the "ODBC" option from the Quick Access (icon) menu. Then click on the type of database you are using. Then just fill out the form. Voila.
Note that if you are using an access database, you do not have to setup the database first, you can just upload your mdb file. Good luck