That's not a standard part of the install process.
Are these the steps that you followed to get the client installed?
If, as you say, the client was properly installed you just need to setup the DSN. The following should work (stolen and lightly edited from the Progress Knowledge Center):
Start up the ODBC Data Source Administrator(found in Control Panel within the Administrative Tools folder)
Example:
1. Select the System DSN tab
2. Select the Add button to the right
3. Select the MERANT 32-BIT Progress SQL-92 driver for your version of Progress.
4. Select Finish
That brings up the configuration screen for a new DSN.
Fill-in the following information:
1. Data Source Name..... (whatever you choose)
2. Description.......(optional and whatever you think is appropriate)
3. Host Name......(the server where the database is located)
4. Port Number.... (the port your database broker was started with...if multiple
brokers..the SQL broker port)
5. Database Name....(database name you wish to connect to)
6. User ID...(the user you logged in with or if security is turned on..a user
that can connect to the database)
7. Leave all other tab settings at the defaults for the initial configuration.
8. Select the Apply button.
9. Select the Test Connect button.
10. Screen requesting a password pops up. (enter one only if the database
normally requires a user name and password from the 4GL side to enter the database)