Open Control Panel window, you will see different icons as shown in Pic 1.
Doubble click on ODBC Data Source Administrator icon.

Pic 1.

Now you will see ODBC Data Source Administrator window (as shown below).
Select System DSN tab, and click Add.

Pic 2.

To Create a new DSN for an Microsoft SQL Server, Select SQL Server driver and click Finish.

Pic 3.

In this example I am using DSN name as MyDSN.
Enter the name you like to use for DSN and then choose SQL Server to which you want to connect. If SQL Server is located on the same machine you can choose Local. If Server is not located on the same machine then you need to enter the IP Address or domain name to connect to that Server.
Enter the domain name or IP Address and Click Next.

Pic 4.

Choose authenication method. Enter your Login ID and Password to connect to SQL Server and Click Next two time to skip next Screen, then Click Finish.

Pic 5.

At last step you will have the option to test your Connection.
After a System DSN has been created you can use it within any ASP page located on the same computer.