Apparently, in VS2012, SQL_CUR_USE_ODBC is deprecated. [Update: it appears that the cursors library has been removed from VS2012 entirely].
MFC\'s CDatabase doesn\'
If anyone else runs into this issue, here's what seems to be the answer:
For ODBC to an Access database, connect using CDatabase mydb; mydb.OpenEx(.., 0), so that you ask the system not to load the cursor library.
Then for the recordsets, use dynaset CMyRecordset myrs; myrs.Open(CRecordset::dynaset, ...).
Finally, you must make sure that your tables have a primary key in order to use dynasets (keysets).