Is there a specific reason that you want to use ODBC? It would be a far better idea to use the Connector/Net provider, which is a free download from the MySQL web site.
Regardless of that, you don't "make a DataSet" via ODBC. The DataSet itself is completely independent of the data access technology used. In fact, you can use a DataSet even if you're not connecting to a database if you want. You create the DataSet, create a data adapter from the appropriate provider (MySqlDataAdapter, OdbcDataAdapter or whatever) and then call Fill. It's the same regardless of the provider. All that changes is the connection string and maybe the SQL syntax a little. Any code examples you have seen for populating a DataSet from any database (Access, SQL Server, etc) are relevant.