Which datasource and data provider did you select?
try using <other> for data source and '.NET framework data provider for
ODBC' for data provider.
if that doesn't work, are you sure that your DSN or connection string is
correct? or your login information?

try creating a DSN in control panel->administrative tools -> data sources
can you make a DSN there? if not then I think mySql is not installed or
configured correctly.

you can test the connection in the DSN configuration screen. if it works
there, then you should be able to use it as an ODBC data source in the
'connect to database tool' (with the correct name and password of course.

alternatively, you can also check on
microsoft.public.data.odbc or microsoft.public.dotnet.framework.odbcnet

I noticed that there are people there discussing mySql, so they can probably
help you with much more detail.