Assuming you are on a Win9x/NT/2k system, it is fairly simple. If you are on Unix, I have heard that it can be done using some ODBC packages for Unix, but I haven't tried those.
If you have Win9x, the procedure is described very well in http://www.phpbuilder.com/columns/siddarth20000228.php3?page=4. If you have WinNT/2k, the procedure has a few minor differences in where to find the ODBC in the Control Panel but is otherwise the same.
