Largo ha sido el camino transitado hasta encontrar la solución a uno de mis grandes dilemas.
Ahora que ya he conseguido hacerlo, lo comparto con el mundo.

El crear DSN’s de forma dinámica en tiempo de ejecución nos permite configurar y utilizar las conexiones de los controles y data reports sin miedo a futuros cambios.

El código lo he organizado en un módulo.

Descargar Módulo
''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
''' Autor: Roberto Herrero                       '''''''''''''''''''''''''''''''
''' Fecha: 05/Junio/2008                         '''''''''''''''''''''''''''''''
'''        http://blog-indomita.blogspot.com/    '''''''''''''''''''''''''''''''
''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
''' Origen : Brian Plano Abad                    '''''''''''''''''''''''''''''''
''' Fecha:   20/Dic/2006 (18 Diciembre 2006)     '''''''''''''''''''''''''''''''
'''          bplano@ solingest.com               '''''''''''''''''''''''''''''''
'''          http://www.elguille.info/colabora/vb2006/jesus_Ejemplo_Report_Manager2.htm
''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''


Option Explicit

'Constantes
Private Const ODBC_ADD_DSN = 1 ' Nuevo DSN
Private Const ODBC_CONFIG_DSN = 2 ' Modificar DSN
Private Const ODBC_REMOVE_DSN = 3 ' Eliminar DSN
Private Const ODBC_ADD_SYS_DSN = 4 ' Nuevo DSN de sistema
Private Const ODBC_CONFIG_SYS_DSN = 5 ' Modificar DSN de sistema
Private Const ODBC_REMOVE_SYS_DSN = 6 ' Eliminar DSN de sistema
Private Const vbAPINull As Long = 0 ' Null Pointer
Private Const SQL_SUCCESS As Long = 0
Private Const SQL_FETCH_NEXT As Long = 1

'Declaración de funciones de API
Private Declare Function SQLConfigDataSource Lib "ODBCCP32.DLL" (ByVal hwndParent As Long, ByVal fRequest As Long, ByVal lpszDriver As String, ByVal lpszAttributes As String) As Long
Private Declare Function SQLDataSources Lib "ODBC32.DLL" (ByVal henv As Long, ByVal fDirection As Integer, ByVal szDSN As String, ByVal cbDSNMax As Integer, pcbDSN As Integer, ByVal szDescription As String, ByVal cbDescriptionMax As Integer, pcbDescription As Integer) As Integer
Private Declare Function SQLAllocEnv Lib "ODBC32.DLL" (Env As Long) As Integer

'Constantes
'ruta hasta el servidor (ip/nombre/ruta)
Private Const C_Server = "localhost"
'usuario
Private Const C_User = "usuario"
'contraseña
Private Const C_Pass = "contraseña"
'base de datos
Private Const C_BD = "nombre base de datos"
'puerto
Private Const C_Port = 3306
'Nombre ODBC de MySql
'(si no tienes ninguno instalado http://dev.mysql.com/downloads/connector/odbc/5.1.html)
Public Const C_MYSQL_ODBC = "MySQL ODBC 5.1 Driver"



'''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
'''' FUNCIONES
'''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''

'Crea el DSN para las conexiones
'(utiliza las constantes por defecto para conectarse a un servidor MySql)
'Si deseas personalizarlo o dinamizarlo deberás utilizar el resto de funciones
Public Function IniciaDSN(sDSNname As String) As Boolean
    'Comprobamos si existe
    If ExisteDSN(sDSNname) = True Then
        'Si existe lo eliminamos previamente.
        If BorrarDSN(sDSNname, C_MYSQL_ODBC) = False Then
            IniciaDSN = False
            Exit Function
        End If
    End If
    
    'Creamos el nuevo DSN.
    IniciaDSN = MySQLCrearDSN(sDSNname)
End Function
 

'Crea un DSN del sistema.
Public Function CrearDSN(sDSN As String, sDriver As String, sAtributos As String, Optional sHwnd As Long = vbAPINull) As Boolean
    'Creamos el DSN (En vez de vbAPINull, empleamos el hwnd del formulario)
    CrearDSN = CBool(SQLConfigDataSource(sHwnd, ODBC_ADD_SYS_DSN, sDriver, sAtributos))
End Function


'Crea un DSN MySQL con los atributos bien seteados.
Public Function MySQLCrearDSN(sDSN As String, _
 Optional sServer As String = C_Server, Optional sBD As String = C_BD, _
 Optional sUser As String = C_User, Optional sPass As String = C_Pass, _
 Optional sPort As Integer = C_Port) As Boolean
 
    Dim sDriver As String
    Dim sAtributos As String
    
    sDriver = C_MYSQL_ODBC
    sAtributos = "DSN=" & sDSN & Chr(0)
    sAtributos = sAtributos & "SERVER=" & sServer & Chr(0)
    
    sAtributos = sAtributos & "PORT=" & sPort & Chr(0)
    
    sAtributos = sAtributos & "DATABASE=" & sBD & Chr(0)
    
    sAtributos = sAtributos & "USER=" & sUser & Chr(0)
    
    sAtributos = sAtributos & "PASSWORD=" & sPass & Chr(0)
    
    sAtributos = sAtributos & "OPTION=3" & Chr(0)
    
    'Si queremos resetear la conexión de datos, debemos borrarlo antes
    If ExisteDSN(sDSN) Then
        Call BorrarDSN(sDSN, sDriver)
    End If
    
    MySQLCrearDSN = CrearDSN(sDSN, sDriver, sAtributos)

End Function


'Elimina un DSN del sistema.
Public Function BorrarDSN(sDSN As String, sDriver As String, Optional sHwnd As Long = vbAPINull) As Boolean
    Dim sAtributos As String
    ' Borramos el DSN (En vez de vbAPINull, empleamos el hwnd del formulario)
    If ExisteDSN(sDSN) Then
        sAtributos = "DSN=" & sDSN & Chr(0)
        BorrarDSN = CBool(SQLConfigDataSource(sHwnd, ODBC_REMOVE_SYS_DSN, sDriver, sAtributos))
    Else
        MsgBox ExIdioma("ModDSN_Contr1")
        BorrarDSN = False
    End If
End Function


'Comprueba si existe un DSN en el sistema.
Public Function ExisteDSN(sDSN As String) As Boolean
    Dim I As Integer, j As Integer
    Dim sDSNItem As String * 1024
    Dim sDRVItem As String * 1024
    Dim sDSNActual As String
    Dim sDRV As String
    Dim iDSNLen As Integer
    Dim iDRVLen As Integer
    Dim lHenv As Long 'controlador del entorno
    Dim DSNLISTA(100)
    ExisteDSN = False
    For j = 1 To 52
        DSNLISTA(j) = ""
    Next j
    
    j = 1
    If SQLAllocEnv(lHenv) <> -1 Then
        Do Until I <> SQL_SUCCESS
            sDSNItem = Space(1024)
            sDRVItem = Space(1024)
            I = SQLDataSources(lHenv, SQL_FETCH_NEXT, sDSNItem, 1024, iDSNLen, sDRVItem, 1024, iDRVLen)
            sDSNActual = VBA.Left(sDSNItem, iDSNLen)
            sDRV = VBA.Left(sDRVItem, iDRVLen)
            If sDSN <> Space(iDSNLen) Then
                DSNLISTA(j) = sDSN
                If UCase(sDSN) = UCase(sDSNActual) Then
                    ExisteDSN = True
                    Exit Do
                End If
            End If
        Loop
    End If
End Function
Fuente: elGuille.info