Assuming you have installed the myODBC 2.50 or 3.51 driver, then in the Visual Basic Editor (Alt+F11 while in Word), you need to go to Tools-->References and add "Microsoft ActiveX Data Objects 2.7 Library". The 2.6 or 2.5 Library should also work, just choose the highest number that you have available.
The following should get you connected, after that it's pretty much like any other database.
Dim conn As ADODB.Connection
'connect to MySQL server using MySQL ODBC 2.50 Driver
Set conn = New ADODB.Connection
conn.Open "Driver={mySQL};" & _
"Server=localhost;" & _
"Option=16835;" & _
"uid=root;pwd=MyPassword;database=MyTestDB;"
Of course you'll need to change the user id, password and database.