First of All you need to go to
Data -> From Other Sources -> From MS Query
On the Choose Data Source Dialog Box, choose
On the Create New Data Source
Insert a Name for the connection and select the appropriate driver as shown in the picture.
Then Click Connect and Select the Northwind MS Access file.
Clik OK twice.
Select a Table with few fields, go to the end of the wizard, select a cell and you are done.
If you right click on this Table, go to
Table -> External Data Properties -> Click the Property button close to the name text box and click definition
you will see this window
As you see from the Connection String Text Box, there is no "DSN=" string.
Congratulation, you have just created an DSN connectionless connection.
Some of you might have noticed that Excel created a "Query form Northwind1" connection.
The Northwind1 stems from the fact that I had already a Northwind DSN connection with the same same, in the same Excel file.
I would suggest to name NorthwindDSN the connection with a DSN datasource to distinguish it from the one that connects to the same data base without DSN.