To set up a MYSQL ODBC connection in Windows, you first need to install the MySQL ODBC Connector, available free from the MySQL site. Then you use the appropriate Control Panel applet to set up the connection. It's called something like "Data Sources (ODBC)".
In that dialogue, you need to set up a System DSN using the MySQL driver, giving it a name of your choice, and specifying the server hostname/address, username/password, and default database to be used. Then you can test the connection before finishing.