On Windows XP, R 2.0.0.
> library(RODBC)
> mydsn <- odbcDriverConnect("DSN=mydsn")
> odbcClose(mydsn)
> sqlQuery(mydsn, "select * from foo_t")
[boom, bam, burp, crash, wheeze]
I grant that an sqlQuery on a closed DSN is a stupid thing to do, but it
still should't crash, right?