ODBC
I tried setting up ODBC on my computer all day ... without success. All this ODBC is such a mess: poor documentation, buggy programs (all GUIs I encountered fail miserably at even running), etc. I also tried using a native O'Caml connector to PostgreSQL (installing the database was easy, for once), but I didn't succeed (yet) there either. I really hope to get this mess running quickly: it is so boring to fight with missing libraries!