roboticus is correct as far as changing the database after you have connected. However another way is to use a DSN-less connection where you specify the database at connect time. For this you use a connect string like "DRIVER={SQL Server};Database=mydatabase;UID=username;PWD=password;" where "SQL Server" is the ODBC driver named shown in the ODBC Administrator drivers tab. This way you don't have to create a DSN beforehand and can connect to any database at connect time. If you search for SQL Server connection strings you'll find other attributes MS SQL Server can take.
