When given a choice, always pick OleDB. ODBC is the older access method that was replaced with OleDB. Speed-wise, they are about the same but oleDB has a lot less problems with drivers than ODBC does.
Whenever I need the SAS syntax for an OleDB connection, I use my tool called SAS to SQL Converter (only runs on Windows, fyi).:
http://utilities.savian.net/
It will call the Windows interface, allow you to make all of your choices and test your connection. It will then write the SAS libname statement for you. Hence, a GUI for doing OleDB connections.
Alan