First you should create an ODBC filedsn, using ODBC FileDSN wizard.
Then, you place on a form an ODBC connection and SQLQuery component.
Connect SQLQuery with ODBCConnection (Database property)
On ODBCConnection set the FileDSN property to the full path where your dsn file exists.
Finally use "Open" and "Close" methods to Connect / Disconnect and "Connected" property to check if you are connected.
It works like a charm !