It may be a bit late for a reply on this, but I to have been looking at something similar.
I'm assuming that you are using Windows? What your trying to do is actually fairly simple and you are on the right track. there is no real difference between setting up and internal to external datasource.
The bits that you need to understand first is what typ of datasource you are trying to connect to, SQL, Oracle, MySQL etc. Once you know this it is just down to DSN Drivers and correct configuration, knowing the location (IP or FQDN), the credentials to connect and the specific table that you are wishing to access.
If it is a webhost, by standard they would use a MySQL backend, thus you need to go to the MySQL website and download the drivers as they are not installed as default on a windows machine.
http://dev.mysql.com/downloads/connector/odbc - selecting your operating system.
See image, though mine is an internal address, same princiles apply.
Oh, on a side note...
You have to make sure that access is allowed before this will work. The datasource might not allow external connection. Or if you connection to a remote site, they may only allow HTTP traffic (Port 80) through their firewall, and not MySQL (Port 3306) traffic.
This is something that you also need to consider