This tutorial will instruct you on how to create a simple DSN connection to an Access database, but the same concepts apply for connecting to any other database through a DSN connection.

You obviously need a database.  It's good practice that you don't use any spaces in the names of columns or tables.  In Access, they allow you to do this, and when you access the data in a web page, it gets a bit messy. Put the database in any folder--the good thing about DSN's is that you can store the database on a completely different location than the web server, and this allows for added security if you're storing things like passwords or credit card details.