This worked when I followed the instructions exactly - thank you. It seems that even though most child imports can be done without a parent - in fact item prices can be imported from a file without items - this cannot be done with ODBC in this particular case. Not only that, but if you use the 'Back' button from the Step 5 page, it overwrites your queries - you have to enter them all again. So don't use the back button, I guess.
EDIT: Spoke too soon. I can get to the mapping page, but cannot map itemcode to the parent key field in prices - it simply isn't an available field. I will create a new question for this as it is a different problem.
EDIT 2: New problem is here.