You do this differently depending on what Pervasive Engine you are refering too.
If your server is running the actual Pervasive Server 2000i or later Engine as a system Service on an NT Box, then you need to do as Lorne said. Defining a System DSN (in ODBC Administrator) using The "Pervasive ODBC Engine Interface" driver. Don't forget to run the "ODBCDDF.RUN" program in DBA using UT-A so that ODBC compatible DDF files are created in the same directory as your DBA tables. These are the DDF files that you point the System DSN too.
This defines a server resource that you can then access using a System DSN at each Client Workstation using the "Pervasive ODBC Client Interface".
If your server is running the Pervasive Workgroup Engine, then you need to install the workgroup engine at each workstation. You can tell that you are using the workgroup engine by looking for an icon in the system tray that looks like a computer with a little green circle with a '+' in it.
Next, define a System DSN at the workstation using the "Pervasive ODBC Engine Interface" that gets installed with the Workgroup Engine.
If you are not up to at least Pervasive 2000i SP4 or later, then don't bother until you update your Pervasive installation. You can find the Pervasive Service Packs and Hotfixes on their Web site at:
http://www.pervasive.com/support/updates/?product=psql