To make sure I've got this straight: you have EG on your local PC and SAS on a central Windows server that you connect to via Citrix. Correct?
EG connects to remote machines via Integration Technologies.
To connect EG to that SAS server, you must set up Integration Technologies on the server, with a running object spawner to listen for connections. You must also define that connection in a metadata repository (can be your local repository, or using the SAS Metadata server). You would do this using either SAS Management Console or Tools->Options->SAS Enterprise Guide Explorer in EG.
Once you've got that connection established, you can access your ODBC data sources as you do now: via SAS libraries within your SAS session.
Chris