Connecting to Neo4j from Microsoft Power BI using ODBC is made possible through OpenLink Software's ODBC-JDBC Bridge Driver, which extends the reach of Neo4j's BI Connector to ODBC-compliant applications such as Microsoft Power BI. To achieve this connection, users need to set up an ODBC DSN and create a data source, then use the ODBC driver with PowerBI to query their Neo4j instance. The process enables users to build visualizations using data from their Neo4j instance in PowerBI and also connects other ODBC-compliant applications to Neo4j's JDBC BI connector.