when u create a database in windows (like u do in access) you use the control panel thingie to describe a DSN which is just a name to refer to that database.
in most databases there is an option to use somthn called DSN-less connection that dont require u to set the DSN (but are mor complicated).
however access cant have a dsn-less connection so u have to do that thing in control panel (no other way).
for other databases visit this
link