You do not need ODBC to utilize MySQL. Most website applications don't use ODBC to access MySQL. It is already installed on the system and functioning if Plesk is functioning and it uses this for it's own database.
To create MySQL Databases for a domain simply go to the database section of the domain and create a database, there is a drop down list if you have the MSSQL component allowing you to choose either MySQL or MSSQL. You can then create users for the database and access PHP MyAdmin through the same area.