Populate "External database -> Host" parameter with DSN (data source name). It looks like:
Driver={ODBC Driver 13 for SQL Server};Server=amh.database.windows.net;Database=smh;
Populate "External database -> User" ad "External database -> Password" with DB user and DB password.
Check that ODBC PHP extension is installed on your web server and ODBC source is registered.
Try to also set "Choose source type -> SQL -> Debug mode" parameter to "Yes" to see what error occurs.
PS: If it doesn't help, could you provide a link to a page where your try to use the extension and a temporary access to your Joomla! backend by
email or FTP access to <joomla_directory>/modules/mod_aridatatables folder so we can investigate the problem in more details?
Regards,
ARI Soft