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Are you wanting to use the ODBC database option for the parts libraries? (note - this is part libraries only - not symbol and component.)
The procedure is in the help file - search for "CADSTAR Database library - Overview".
However, unless you have about 10 people accessing your library at the same time and need integration with an MRP system then I personally would not bother as you gain nothing but add extra complexity. (That is not to say there is anything wrong with the database - its just not needed for small users)