Just in case someone else needed the same thing.
I had some issues with DSN and found that this made everything much easier.
Using LabSQl instead of a UDL file just enter the connection string directly or read from file:
connection string for SQL Server:
Provider=SQLOLEDB.1;Integrated Security=SSPI;Persist Security Info=False;Initial Catalog=DataBaseName;Data Source=SQLServerName\SERVER
Hope it helps
JCollado