Well, I'm not sure you can connect without an ODBC, but here's what I do.
The driver should be installed on all of the machines, we make the ODBC install part of our original image for all test machines. Now you have two choices, create a File DSN ahead of time or if your database location could change, create it on the fly. Creating one on the fly is pretty simple. First create a datasource on any machine, make sure it's a File DSN. Then open the DSN with Notepad, the contents are all you need along with the installed ODBC driver to access the data. For example, I have an Access DSN for a dataset located in C:\MyProduct\Data. Let's say for testing we changed the installation to D:\Installs\MyProduct. I can take my file and modify two lines to make the DSN work.
This file can be placed anywhere on the target machine, i.e., C:\TempTest. So we write our script to create the text file making everything exactly the same EXCEPT the last two lines. I am not on my WinRunner machine right now so I can't give that to you as well. I am not experienced enough with WinRunner to do this stuff from my head yet...Hopefully it's starting point you can use.