For each RDBMS, you need its corresponding ODBC driver, which must also be installed on the same machine that MySQL Workbench is running on. This driver is usually provided by the RDBMS manufacturer, but in some cases they can also be provided by third party vendors or open source projects.
Operating systems usually provide a graphical interface to help set up ODBC drivers and data sources. Use that to install the driver (i.e., make the ODBC Manager "see" a newly installed ODBC driver). You can also use it to create a data source for a specific database instance, to be connected using a previously configured driver. Typically you need to provide a name for the data source (the DSN), in addition to the database server IP, port, username, and sometimes the database the user has access to.
If MySQL Workbench is able to locate an ODBC manager GUI for your system, the Open ODBC Administrator button on the migration wizard's overview page will open it.
Linux: There are a few GUI utilities,
some of which are included with unixODBC. Refer to the
documentation for your distribution. iODBC provides
OS X: You can use the ODBC Administrator
tool that is separate download from Apple, or an ODBC
Management tool from a different vendor. If the tool is
installed in the
/Applications/Utilities folder, you can
start it using the Open ODBC
Microsoft Windows: You can use the Data
Sources (ODBC) tool under Administrative Tools. If present,
the Open ODBC Administrator button
will start it.
Since the ODBC driver needs to be installed in the client side, you will need an ODBC driver that supports your clients operating system and architecture. For example, if you are running MySQL Workbench from Linux x64, then you need a Linux x64 ODBC driver for your RDBMS. In OS X, MySQL Workbench is built as a 32-bit application, so you need the 32-bit drivers.