No, any DSN will have this issue. Are the user accounts in a trusted domain compared to the server where SQL Server is installed? You'll need to verify this with your system administrator (or better yet, point him/her to this thread). If they are, then you'll need to grant access to the user accounts being used to log in. You can't specify Windows credentials in the DSN. It will use the logged on user. It doesn't matter if it's a user, system, or file DSN. It's all about current user context.
K. Brian Kelley