ODBC driver crashing my program

Hallo, I am new to any database stuff. I work under
Win2k SP4.

I downloaded the latest stable release of MySQL 5.0
(mysql-5.0.51a-win32.zip) and installed it on my local
machine. I configured it without changing any of the
default options. The MySQL service starts fine.

Reading the Manual (sections 3.3 and 3.4) I created my
first small database "menagerie".

Next I wanted to install the ODBC drivers. I downloaded
mysql-connector-odbc-3.51.25-win32.msi
mysql-connector-odbc-5.1.4-win32.msi
mysql-connector-odbc-noinstall-5.1.4-win32.zip
Starting the .msi versions the setup ends with an error
message: "Error 1305. Error reading from file <path to .msi>
Verify that the file exists and that you can access it."

Any idea what to do against that? I have full admin rights.

Next I tried the zipped file. Extracted it and ran the
batch file. Seams fine so far.

Starting the ODBC control panel i can add a User DSN
for the "MySQL ODBC 5.1 Driver". After giving some rights
to my "meangerie" database using the "GRANT" command at
the MySQL console (as described in the manual)
I can connect to "meangerie" by pressing the "Test"
button.
I also can load "meangerie" into MS Excel and into
MS Access as described in the manual.

BTW, if I try to add a new File DSN for the MySQL ODBC
driver, I cannot connect to "meangerie". The file
created contains only one line "DRIVER={MySQL ODBC 5.1 Driver}".
What would I have to add to make it work?

Now I thought I could start the thing I am really
interested in. That is to code a program which can access
"menagerie" via ODBC. I'm using MS Visual C++ 6.0.
Because database stuff is new to me I just started
with the "Connect" sample from the MSDN that ships
with VC++6. The sample compiles fine (as expected).
However when running the program, if I select the
User DSN entry, which connects fine in all the other cases
I tried before, I get an access violation in MyODBC5.dll
(0xC0000005). Doesn't matter if I try it in release
or debug mode.
What the hell is going wrong now? It cannot be my
fault. And what to do against it? Is it a known
bug in the MySQL ODBC driver? Should I install
another ODBC driver? But where to get another - the
..msi setups refuse to work?
I am really frustrated at this point. Can anyone give me
some advice please?