With unixODBC you can use a simple command line utility called \"isql\" to test your connection and permissions of some queries. Without having to write extra code or instal
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.