Hello Alfredo,
You can use HTTP sniffers such as Fiddler2 or Wireshark to trace the HTTP traffic.
Is asantibanez a Windows user or a user of the data service?
I'm asking this because I'm wondering if you did not make an error choosing option Supply user ID and password instead of Integrated Windows authentication.
I don't think the ODBC connection you made corresponds exactly to the settings issued with the ODT driver, especially for the user and password settings.
Anyway, it is worth trying to see if the below links help to configure a secured Windows authentication with ODATA:
http://blogs.msdn.com/b/odatateam/archive/2010/05/10/odata-and-authentication-part-1.aspx
Another thing to try with the Windows authentication is to force your IIS box hosting the data service to use the NTLM security scheme:
1. Open iis and select the website that is causing the 401
2. Open the “Authentication” property under the “IIS” header
3. Click the “Windows Authentication” item and click “Providers”
4. Move NTLM at top
Hope this helps,
Jacob