This was my stupid mistake...
DatabaseName = "CRS" and Connected = True in TODBCConnection, this is comfortable at design time.
UserName and Password are empty, they are set in ODBC driver.
Application tries to connect to DSN "CRS" at start time, before user select another DSN in application.
This works when there is DSN with name "CRS" at user's PC and cause error when not.
So unchecking Connected (False) solved the problem.
Question still left is what to do to make error message readable on Russian Windows.