The DB2 Database installed on the Mainframe is generally queried via a terminal emulator and the DSN is how you do. So you could go ahead and use the same DSN setup for querying in your DS EE job.
As Ray said you need to install DB2 Connect. Also, if you are going to use the DB2 UDB API Stage to call the stored procedures using environment variables as parameters, you need to call Ascential to get the patch.