Transactions With Remote Connection

A colleague wants to insert many millions of records where the
values are computed in a C++ program. He connects to the
database with ODBC, and does an INSERT for each row.

This is slow, apparently because each INSERT is a separate
transaction. Is there a way to delay committing the data
until several thousand records have been written? Inside
SQL Server this is simple, but I don't see an equivalent
when using ODBC. Or is there something better than ODBC?
Or might it be faster to write values to a file and then
use bulk insert? I would appreciate any thoughts on this
general problem!

Thanks,
Jim