What version of Studio are you using against what version of MG OS?
You should get a dialog that says "Select a feature provider". Not all connections may be for spatial data sources so the help file is has an old reference it seems. You should see a list of provders which includes the ODBC provider. The provider list is sent from the server. It can be found in the server install folder under the FDO directory. If this file is empty something in your build or install of FDO was incorrect.
You should post your questions to the Open Source List under OSGEO for more direction on building and installing the Open Source. You can email Mapguide_users@lists.osgeo.org.
Regards,
Dave