If you don't see the option for Failover in the ODBC driver you need to install a newer ODBC. If I remember right you need to have at least SQL server native client 10 to support failover. When you create the new data source, select the Native 10 (or higher) driver.

You have to select a default database (of course) and then can select a mirror server. (this is on the second page of creating a new DSN)