>Cool, I got it to work. Now, how do I create the ODBC connection on the user's computer?

Use SQLConfigDataSource API - the declaration in VFP is

DECLARE Integer SQLConfigDataSource in odbccp32.dll ;
       Integer, Integer, String, String

You can modify the VB code here - MSKB#Q231156 - pretty easily to make it work with VFP.
The client will need to have the ODBC driver installed, but that can be included as part of the Setup.