Setting up SQL ODBC connection string

This might need to be fleshed out better in the documentation or perhaps I missed it. I need a walkthrough on setting up the connecction string for a SQL connection.
We use an ODBC connection on a shipping computer to provide for our other shipping software. Most of that was point and click but with yours I need to provide the string.

I tried this but got an error below
Provider=MSDASQL;Driver=SQL Server;Server=mysqlserver;Database=mysqldb
==========
The .Net Framework Data Provider for OLEDB (System.Data.OleDb) does not support the Microsoft OLE DB Provider for ODBC Drivers (MSDASQL). Use the .Net Framework Data Provider for ODBC (System.Data.Odbc).
==========

So confusing. Any help would be appreciated.