You can use the "Test Connection" feature after creating the ODBC connection through Control Panel > Administrative Tools > Data Sources.
To test a SQL command itself you could try:
http://www.sqledit.com/odbc/runner.html
http://www.sqledit.com/sqlrun.zip
Or (perhaps easier and more useful in the long run) you can make a test ASP.NET or PHP page in a couple minutes to run SQL statement yourself through IIS.