This one had me stumpped for a bit, thanks to my colleague for getting to the bottom of this one.
Running a 64 bit OS, set up an ODBC DSN, but can't select it in my 32 bit application, which is of course the AX server configuration utility for AX4. This is weird because the ODBC connection tool is still a 32 bit app even on a 64 bit OS. The trick is that there is actually another secret version of the ODBC tool!
A 64-bit version of the Microsoft Windows operating system includes the following versions of the Microsoft Open Database Connectivity (ODBC) Data Source Administrator tool (Odbcad32.exe):
The 64-bit version of obdcad32.exe is the one you get from administrative tools, if you want to set up DSNs for 32bit apps then you need to manually go and run the ODBCad32.exe in the windows\SysWoW64\ folder.
This is taken from a Microsoft Knowledge base article KB942976!