You can write code to set up the data source. I've only done it using Win32::ODBC.

use strict;
use warnings;
use Win32::ODBC;

my $server = 'matt';

my %data_source = Win32::ODBC::DataSources();
if (not defined($data_source{$server})) {
  #
  # Create a system DSN to the SQL Server
  #
  if (!Win32::ODBC::ConfigDSN(ODBC_ADD_SYS_DSN,
                              'SQL Server',
                              ( "DSN=$server",
                                "DESCRIPTION=$server",
                                "SERVER=$server",
                                'DATABASE=First_trial',
                                'NETWORK=DBMSSOCN' ) ))
  {
    die "Unable to create DSN for $server";
  }
}
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