To Create a UDL File in Windows

In the Windows Explorer, navigate to the directory where you want the UDL files to be stored.
Right–click on the right panel of the Windows Explorer.
A pop-up window opens.
Select Microsoft Data Link from the New menu.
A file named New Microsoft Data Link.UDL is created.

If Microsoft Data Link is not an option on your operating system, select the Text Document option. Once the text file has been created, rename the extension to .udl so it will be recognized as a Microsoft Data Link file.
Right-click on the file and rename it to a more appropriate name.
Double-click the .udl file.
The Data Link Properties dialog opens.
Click on the Provider tab.
A list of available OLE DB Providers installed on your machine displays.

If you do not a provider installed for you database, contact your database vendor to see if one is available.
Select the desired OLE DB Provider and press Next.
The Connection tab displays.
Enter the necessary information. This information will vary based on the selected provider.
Click the Test Connection button to verify the connection is correct.
(Optional) Click the Advanced tab and set the desired initialization parameters for the data you are accessing.
Click OK.