There are three types of DSNs:
(1) System DSN -- can be used by anyone who has access to the machine. DSN info is stored in the registry.
(2) User DSN -- created for a specific user. Also stored in the registry.
(3) File DSN -- DSN info is stored in a text file with .DSN extension.

DSN is often used by Active Server Pages (ASP) and Visual Basic programs when a query to a database is necessary to retrieve information.

There is also what is known as a "DSN-less connection." Instead of using a DSN to connect to a database, the developer specifies the necessary information right in the application. With a DSN-less connection the developer is free to use connection standards other than ODBC, such as OLE DB.

ASP Data Access for Beginners 
If you are an ASPiring developer seeking a solid foundation in dynamic Web site creation, then look no further. This article details how to connect to a SQL Server 7.0 database using ActiveX Data Object (ADO) and Open Database Connectivity (ODBC).

Able Consulting Connection Strings  
This page contains sample ADO connection strings for ODBC DSN/DSN-Less, OLE DB Providers, Remote Data Services (RDS), MS Remote, MS DataShape.

File DSNs - Use and Reuse
This tutorial describes the three types of DSNs and shows how to create a File DSN.