You don't have to have an ODBC DSN set up to connect via ODBC. The second style of connecting which the OP lists in code is the so-called "DSN-less" method: ODBC drivers and connection strings are still used, but you don't have to create a DSN first.

Handy if you have to create a app for use on several hundred client machines, and don't want to configure a DSN on each one ;)