Go to the script editor (Ctrl + E) screen, and select on the bottom part the button "Connect". You have to create the ODBC entry in your system first, in Control Panel, Administrative Tools, Data Source.
My best suggestion for the starters is the Developer 1 exercises. There it was mentioned step by step how to connect and import data from various data sources. Regarding modifiers Developer 2 is the good source. And need some practice to become expert.