The file maxtest.db is also created but I get no output by the examples.
Turn on Debug mode... if you look at the example all the output is DebugLog("xxxx").
However, the maxtest.db file is for SQLite... so you appear to have the SQLite database module functioning, which is a start :-)
As for most of the modules not working... for many you will need to download a different version of bmk (which is the program that compiles blitzmax apps and modules) ( http://brucey.net/programming/blitz/index.php#tweakedbmk )
You will need to compile bmk.bmx in non-debug and non-gui mode, and then copy the resulting bmk.exe into your BlitzMax/bin folder (backup the bmk.exe that is already there!!!)
For the ODBC module, I suggest deleting the .bmx folder in bah.mod/dbodbc.mod and the .a files from the same folder, and try building the modules again.
If you have the SQLite database module working, the ODBC module should work too.