Hey Ryan,
There are a couple of things which can cause an Access dsn to fail. If you can open the database and know it's not corrupt, then it's probably just a typo in the file path, db permissions, outdated odbc driver, or Access is open and has it locked.
If you use the "browser" button to the right of the "database file" input box and use that to select the file, you can eliminate the file path possibility.
If you didn't set any special database permissions on your database, then that shouldn't be the problem. I never use the security features of Access so I'm not familiar with them and can't tell you how to verify the database isn't protected. Chances are that if you created it and didn't try to set permissions, then they aren't set.
It's also possible that if you're using Access 2000 and your web server has an older set of odbc drivers, it won't be able to recognize the newer format. You can check your version number by going to the control panel and running the odbc administrator and checking the driver version number. I don't know what the current version should be but if everything else fails, let me know what version you're running and I'll compare it against mine.
The last item I can think of is that Access has the file open. I use Access 97 and usually after I create a new database, Access has it locked in some way that keeps CF from creating a DS to it. I have to close the database, create the DS, and then open it back up in Access. Usually the lock doesn't reappear after I close it out once but sometimes Access will keep it locked after several closes & opens. I can't see a pattern but fortunately that happens rarely.
One last note, make sure you have something entered for "datasource name" and "database file" as these are the two fields you must fill in. I leave everything else with the defaults and un-check "maintain database connections".
Hope this helps
GJ