Thanks guys for all the help !
Was able to get it to work with a few mods. Ended up looking as folows :

PUBLIC hconn
hconn = SQLSTRINGCONNECT([filedsn=c:\temp\sqlfiledsn.dsn])

IF hconn <= 0
= MESSAGEBOX('Cannot make connection', 16, 'SQL Connect Error')
ELSE
= MESSAGEBOX('Connection made', 48, 'SQL Connect Message')
= SQLEXEC(hconn,"SELECT * from testtable","test1")
= SQLDISCONNECT(hconn)
ENDIF

I'll end up putting the actual dsn somewhere on our network that the users won't be able to accidentally delete (like they did their System DSN's).

Thanks again.