We're using an informix database that is running on a aix machine.
All clients are windows terminals.
Now some users connect via access instead of the erp application directly to the database, how can we prevent that from happening ?

You can't deny access to an application. You can deny access to users.
The fact that they can use access proves that they have an Informix ODBC driver installed on their local machines. Throw that out and they can't access.
Normally, an ERP systems always loggs on to the database server with one username.

In that case just revoke all permissions from the other users in the database.