Further to chrfalch's post, here is some sample code for updating a DSN (I know the OP is asking for creation, however this code is easily translatable to whatever you need to do) using the API call rather than via the registry direct (using the information from the pinvoke.net page):-
[DllImport("ODBCCP32.DLL", CharSet = CharSet.Unicode, SetLastError = true)]
static extern bool SQLConfigDataSourceW(UInt32 hwndParent, RequestFlags fRequest, string lpszDriver, string lpszAttributes);
enum RequestFlags : int
{
ODBC_ADD_DSN = 1,
ODBC_CONFIG_DSN = 2,
ODBC_REMOVE_DSN = 3,
ODBC_ADD_SYS_DSN = 4,
ODBC_CONFIG_SYS_DSN = 5,
ODBC_REMOVE_SYS_DSN = 6,
ODBC_REMOVE_DEFAULT_DSN = 7
}
bool UpdateDsnServer(string name, string server)
{
var flag = RequestFlags.ODBC_CONFIG_SYS_DSN;
string dsnNameLine = "DSN=" + name;
string serverLine = "Server=" + server;
string configString = new[] { dsnNameLine, serverLine }.Aggregate("", (str, line) => str + line + "\0");
return SQLConfigDataSourceW(0, flag, "SQL Server", configString);
}