My first recommendation is to say don't use ODBC with Java. Get yourself a JDBC driver for the type of database you're using. They're typically available free from the website of the vendor or they're shipped with the DB installation.
If you're just playing then you can set up an ODBC connection by running odbcad32.exe in Windows. This launches a wizard. Set up a System DSN by clicking Add on the System DSN tab and following the instructions. The instructions are typically different for each different type of database.