For Windows, the ODBC Data Source Manager will already be installed, and can be accessed via the Administrative Tools. See Defining ODBC Data Sources.
For UNIX, you’ll probably have to install unixODBC manually. To check if it is already installed, use “locate odbcinst” (assuming you have the file database up to date). If not found and you’re not sure if the file database is up to date, it would probably be in the /usr/local/bin, /usr/bin, or /bin directory (in that order of preference). To obtain the download, visit http://www.unixodbc.org. Another source of information about the unixODBC package comes from our old friends at Easysoft and can be found at: http://www.easysoft.com/developer/interfaces/odbc/linux.html#obtaining_unixodbc
The runtime portion of the unixODBC package consists of several shared libraries (.so) which will normally get installed into /usr/local/lib, and a few executables that get installed into /usr/local/bin.
Updating /etc/ld.so.conf : In many Linux distributions, particularly Red Hat, you may find that /usr/local/lib is not part of the automatic search path for dynamic libraries. If A-Shell is unable to find the libraries, you may need to add /usr/local/lib to the /etc/ld/so.conf file (the file should list one path per line). After doing that, execute /sbin/ldconfig to update the dynamic library directory cache.
After installing unix ODBC, you’ll need to download/install an ODBC driver/data source. You can obtain the MySQL ODBC connector from http://www.mysql.com.