Well, creating an ODBC connection is not necessarily a qlikview step, but more a windows step.
You can create one in the windows ODBC administrator: control panel->administrative tools->data sources(ODBC). There you can add a user DSN (data source name). When you click add you can select the ODBC driver (which has to be installed) and give the configuration.
In Qlikview you can just select the DSN.
For Access files it's not necessary to go through so much trouble, if you select acces as ODBC and click ok at the user/pw prompt, it asks for a location where you enter the path to the file.