A database is a file or server that contains a collection of data. A data source is a pointer from ColdFusion to a specific database. You add data sources to your ColdFusion Server so that you can point to the databases that you want to connect to from your ColdFusion applications.
ODBC is a standard interface for connecting to a database from an application. Applications that use ODBC must have an ODBC driver installed and configured for each data source.
On Windows, you can check your system's installed drivers by opening the ODBC Data Source Manager in the Windows Control Panel.
On Windows, the installed set of ColdFusion ODBC drivers includes:
On UNIX, look in the ODBC page of the ColdFusion Administrator for a list of avalable ODBC drivers.
A good source of information on ODBC is the ODBC Programmer's Reference at http://www.microsoft.com/data/odbc.