You then need to setup a ODBC source on your computer. Much better is if you on your FileMaker Server setup a ODBC DNS to your SQL-database and then you can use the tables from that SQL-database almost like it was native FileMaker database tables
Read more here
Using FMP15 I want to access a sql server through ODBC directly using execute sql. the data returned will be manually entered into my local fmp database.
These two seem contradictory; if you access a SQL server through ODBC you will get data back. Where will you put that data? The most logical place is in your database so that users wouldn't have to input it manually.
To get data from an ODBC source you would not use the 'execute sql' script step because that one is not meant for SQL SELECT. You would use the "import [from ODBC data source]" script step.
Or use ESS as mentioned above and then you don't have to import anything at all; you can see and work with the SQL Server data as if it was already in FM.