You need to setup a DSN on your machine. There is a note in the Designer HELP about this:
In Acrobat, security concerns dictate that you cannot specify an ODBC connection string using the Driver=; syntax, so the client system needs a DSN configured for ODBC connection. Also, if you are using external data sources in a form that you want to make available using Adobe Reader, you must set usage rights for the form using Reader Extensions Server.