Check out these links:
http://www.ndl.kiev.ua/content/mod_archive_odbc-release (Skip the first part about the erlang driver) https://support.process-one.net/doc/display/MESSENGER/Using+ejabberd+with+MySQL + native + driver http://www.ejabberd.im/ejabberd-modules
I successfully set up message archiving on a Windows machine after some work, but I still need to document the process ...
The main process is to get mod_archive_odbc files from ejabberd svn, as described in the first link. Compile the .erl file and put the .beam file in the lib // ebin directory. (For a binary installation of Windows, put the .erl file in the / bin directory of your installation and start ejabberd (third link):
erlc -I includes/ejabberd/include mod_<name>.erl
After placing the .beam file, you should follow the instructions for setting up your own mysql database, run the mod_archive_odbc_mysql.sql script in your mysql ejabberd database, configure e-jabberd and restart the server. (Note: if you are not transferring mnesia data, you will have to manually recreate the admin user.)
Good luck