You need to connect via code, I find this to be the easiest way.
Here's an example:
Module MyModule
Public CONN As New Data.Odbc.OdbcConnection("DSN=MyDSN;DATABASE=MyDB;USER=DBUser;PASSWORD=DBPassword")
Public ADP As New Data.Odbc.OdbcDataAdapter("", CONN)
Public CMD As New Data.Odbc.OdbcCommand("", CONN)
End Module
You also need to set up your ODBC connection from Windows Administrative Tools. Just add a new User DSN with a MySQL ODBC driver where you specify which DB, user, password and of course, DSN name.
I hope this helps and that it can be understood, it has been a while since I last posted a response, so I'm a little bit rusty.
-Rob.