You may find a technique to create a DSN, but you will NOT be able to create the file it needs to point too. Technically you can do this by creating an external script that calls a DLL in the windows system directory. and executing that script to create the mdb file when you wish.
Create an ODBC connection to what? A brand new DB? If so that would require creating an Access database or something else with an ODBC driver. If an existing DB - you can have your program edit the c:/windows/odbc.ini file to put what you need there. I am wondering why you'd need this. As part of installation?