To load the Common SQL interface to use ODBC enter:
(require "odbc")
(sql:initialize-database-type :database-type :odbc)
and then you can connect to any installed ODBC datasource.
To load the Common SQL interface to use MySQL, enter:
(require "mysql")
(sql:initialize-database-type :database-type :mysql)
See the LispWorks User Guide and Reference Manual for further information.