I do not recommend using IIS for PHP. I would recommend Apache. However, if you wish to use IIS, read this article. It also discusses ODBC connections.
In addition, what is ODBC and what does it do?
Open Database Connection. This is a database that is similar to a spreadsheet.
What is DNS and what does it do?
Domain Name Server. This is a server that retrieves domain names. Any time you enter in a page name, like phpbuilder.com, you are actually looking at your DNS list for the IP of phpbuilder.com, and going to the IP.
It appears that in ODBC you establish some sort of account.
As with most databases, you need an account to logon. These are not always needed, but are better for security.
Can I delete these after I make them?
Absolutely. I recommend getting a database manager.
P.S.: I recommend MySQL over ODBC.