The connection can be established creating a connection string in "Open SQL Connection" Action.

The action itself has a "string builder" utility which allows you to construct the proper connection string following the build-in wizard:

When using certain drivers in which the utility produces a connection string, like in the ODBC driver, we'll have to copy the string and paste it in the "Open SQL Connection" Action.

Therefore, we copy the above string that was produced and manually paste it in the below input field.