I am tryinng to collect logs from SQL server.
1- Siem collector
2- ODBC driver 11
Now I am trying to configure but I am get attached error.
I'm not 100% sure this is your problem, but did you happen to add the ODBC data sources to the 64-bit or the 32-bit version.
I believe for the SIEM Collector to see the ODBC data source you will need to add it to the 32-bit driver located at C:\Windows\SysWOW64\odbcad32.exe.
If you open this, and don't see your previously added ODBC source, it was likely added to the 64-bit driver.
Technically, you can execute scripts and whatnot via WMI, and those scripts could get data from SQL.
But the SIEM won't beable to use it's WMI interface to do that. The SIEMs WMI interface is mainly for Windows Event Log collection.
You are on the right track with the McAfee SIEM Collector.
It just seems you are having connection difficulties, since I don't know how your specific SQL server was installed or what might be causing the problems, other than the 32-bit / 64-bit issue I previously mentioned.
If you continue to have issues with the SIEM collector, you can try the thrid party collector nxlog. I've also had success with it in the past.
For SQL (Express) you need to make the TCP/IP enabled and change to TCP port to 1433 under the SQL Server Configuration Manager: