Are you using a Progress SQL client? If not, that is your first problem. This is included in a Progress Client Networking license, though not installed by default, as I recall. There is also a separate SQL Client product which is a free download in versions 10+, but does require talking to your salesrep to get it on the ESD site. If you don't have that, then you really need to get it before you can have claimed to tried ODBC.
If you have it, then see the second and third child pages here
http://www.oehive.org/node/952 for some setup ideas. There is another more general reference on PSDN, but I don't have a URL handy. Go though that process and report any errors. There are some standard issues people run into with permissions, not having SQL access enabled on the DB, etc. None of it is very complicated.
If you can setup and use ODBC, I would suggest that this was a far superior approach because it is general purpose and flexible and performant.
If, for some reason, this is not possible, then you have a couple of options.
One is just to have a 4GL procedure which you run periodically that dumps out the data you want in ASCII and then create a task on the SQL side to import this data. Works, but is so 1980s!
Creating the web service is possible, but involves a lot more issues. E.g., are you currently running Webspeed or AppServer?