In order for a data source to appear in the list, you must first have installed a driver for the particular database system, and then you must have configured the driver to point to your database.
Drivers are usually supplied by your database vendor, and, especially if you are using a client-server database, you must make sure that you have installed proper components for your specific workstation and network.
A data source, in ODBC parlance, is a driver configured to point to a particular database. For instance, you might have a driver for Oracle data and two Oracle data sources, one for each of two clinical trials you are analyzing. You can configure an ODBC driver to connect to a particular database by running the ODBC driver manager from the Windows Control Panel. Only properly configured data sources will appear in Stat/Transfer's lists of available data sources.