Baixe e instale o driver de conexão do site do MySql.

http://www.mysql.com/downloads/connector/odbc/

Crie um arquivo chamado asp_conexao_mysql.asp

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<%
strConnection = "driver={MySQL ODBC 5.1 Driver}; server=localhost; uid=USUARIO; pwd=SENHA; database=DATABASE;option=NUM"
set conn = Server.CreateObject("ADODB.Connection")
conn.Open strConnection
%>