On windows you can obviously use ADODB. To call ADODB objects from PHP take a look at the PHP man, COM functions.
e.g.(from man):
$conn = new COM("ADODB.Connection") or die("Cannot start ADO");
$conn->Open("Provider=SQLOLEDB; Data Source=localhost;
Initial Catalog=database; User ID=user; Password=password");
This actually doesn't use any DSN (DSN-less connection) but you can easily modify it.
bye
ferrante