Hi Monique,
In order to get this working, you're going to need to learn about ODBC drivers and how to set them up. It is extremely important to first find out what database you are accessing. Otherwise, you will not be able to install the correct software to connect to the database. This is not a JMP thing, it is a database access issue for any software. Programs like Excel also use ODBC to access SQL data.
ODBC provides a common access mechanism to your database. Once you find out which database you are accessing, you'll need to search on ODBC driver and that database, like "ODBC driver SQL Server 2014". The operating system is important. Many Windows ODBC drivers are free, but Mac drivers usually must be purchased. The download site for the drivers that you find will tell you how to start the installer. An example of a SQL Server ODBC driver download is at https://www.microsoft.com/en-us/download/details.aspx?id=36434.
After that, you'll need to get connection information particular to your database, like the machine name, and credentials to access the data. This must be entered in to the driver setup. If you have IT support staff in your organization, I would try to talk to them as they will know how to do this.
Brian