The manuals mentioned below are all included in recent Dyalog installations (see the menu item Help|Documentation Centre), and can also be printed on demand from http://stores.lulu.com/dyalog.
For Version 12.1, documentation of error messages can be found at:
Version 12.1:
Error Messages: Chapter 8 of the Language Reference
Short list of error messages: http://www.dyalog.com/help/12.1/html/er ... ssages.htm
System Errors: User Guide, page 53
SQAPL Errors: Interface Guide, Chapter on "ODBC Interface"