ODBC is a standard component of Mac OS X. You only need to install the DBMS specific ODBC drivers. Please refer to the ODBC documentation for Mac OS X, and the ODBC documentation of your DBMS vendor.
The ODBC library,
library(odbc), crashes on Mac OS X 10.5. The
underlying cause seems to be bugs in the ODBC software (iODBC
3.52.5) that comes with Mac OS X 10.5. The version of ODBC (iODBC
3.52.6) that comes with Mac OS X 10.6 does not seem to have this
problem. It may be possible to obtain a newer version of the ODBC
software at http://www.iodbc.org/.