You can creat either by notepad and writing manualy all paramaters, or copy that file content from some other dsn file and modify it.
Or you can do that with dsn file wizard: Go to Control Panel\Administrative Tools\Data Sources(ODBC), go to third tab "File dsn" and click add, browse for file location and create a standard connection. After you finish with all settings about connection, file will be created with all that parameters.
Is there a good reason to still in these days of using dsn files? If you work with .NET there is many new ways, but more important better and easy to access storrage posibilities.