AnyDAC on Linux, Mac OS X and other non-Windows platforms uses UnixODBC to access to Microsoft SQL Server, IBM DB2, Sybase SQL Anywhere and other ODBC based data sources. Often UnixODBC must be installed additionally to the OS installation. That is different from Microsoft Windows, where ODBC manager is installed as part of OS installation. 

AnyDAC uses libodbc.dylib or .so dynamic library to get access to ODBC API. Normally it is located in /usr/local/lib folder. 

UnixODBC may be downloaded as an archive with the sources (here) (more) and saved into some folder in your home directory. To install UnixODBC on Mac OS X use the commands: 

gunzip unixODBC*.tar.gz
tar xvf unixODBC*.tar
export CFLAGS=-m32
./configure
make
sudo make install