ALWAYS lets you control ODBC tracing via a directive, which is more convenient from within the IDE. ALWAYS generates the trace into MFSQLTRACE.LOG in the current directory, regardless of the settings on the ODBC control panel.
Under normal development conditions, and depending on the project's build setting, this is the Debug or Release directory of the current project. NEVER means that the application will never be traced and overrides the control panel. As ODBC trace files can contain sensitive information, use NEVER in production applications in secure environments. For more information see the database driver documentation.