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Creating a DSN for the foreach Statement

The DSN (Data Source Name) part of the foreach statement is made inside of the ODBC Control Panel. To make one go to:
Start->Settings->Control Panel->Administrative Tools->Data Sources (ODBC).

This may be in a slightly different place on different versions of Windows (older versions do not have an Administrative Tools area, for instance).
Create a System DSN--use the name you give it in the foreach statement.