The connection can be established creating a connection string in "Open SQL Connection" Action. The user can define the connection string to connect to any kind of SQL database, as long as there is the proper ODBC driver installed.
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.