I just tested this here and it worked fine for me and the connect returned sqlcode=0.
Did you use the ODBC Administrator 32-bit to create your DSN?
All I did was start the ODBC Administrator 32-bit:
Go to System DSN tab
Click Add
Select the Microsoft Access Driver (*.mdb) driver
Click Finish
Specify name as Library
click Select button and navigate to C:\COBOLClass\DataFiles and select Library.mdb
Click OK
That was it.