Amigo, você instalou o drivers ODBC depende da versão do driver que você estiver usando.
Abaixo eu uso driver 5.1 é só baixar do site mysql
Private Declare Function GetPrivateProfileString Lib "kernel32" Alias "GetPrivateProfileStringA" (ByVal lpApplicationName As String, ByVal lpKeyName As String, ByVal lpDefault As String, ByVal lpRetunedString As String, ByVal nSize As Long, ByVal lpFileName As String) As Long
Public CONN As New ADODB.Connection
Public SERVIDOR, PORTA, USUARIO, SENHA, BASE As String
Function GetIni(setor As String, chave As String, warq As String) As String
Dim wval As String
Dim rr As Integer
wval = String$(255, 0)
rr = GetPrivateProfileString(setor, chave, "", wval, Len(wval), warq)
GetIni = ""
If rr <> 0 Then GetIni = Left(wval, InStr(wval, Chr(0)) - 1)
End Function
Sub Conexao_Conectar_Banco()
On Error GoTo Rotina_Erro
SERVIDOR = GetIni("MySQL_Connect", "SERVIDOR", App.Path & "MySQL.ini")
PORTA = GetIni("MySQL_Connect", "PORTA", App.Path & "MySQL.ini")
USUARIO = GetIni("MySQL_Connect", "USUARIO", App.Path & "MySQL.ini")
SENHA = GetIni("MySQL_Connect", "SENHA", App.Path & "MySQL.ini")
BASE = GetIni("MySQL_Connect", "BASEDEDADOS", App.Path & "MySQL.ini")
CONN.Open "Driver={MySQL ODBC 5.1 Driver};Server=" & SERVIDOR & ";Port=" & 3306 & ";Database=" & BASE & ";User=" & USUARIO & ";Password=" & 2087 & ";Option=3;"
Exit Sub
Rotina_Erro:
END SUB