First of all make sure that you've successfully
deployed your datasource  to the target Managed Servers or
target clusters.
from Administration console select your datasource,
Click on Targets->Servers
add Managed Servers (or clusters)
from Available list to Chosen list then
apply changes.
You can also view jndi  tree to make sure
that you've successfully added the datasource,
to see JNDI Tree right click on your Server node(exm.
mydomain->Servers->myserver)
and select 'View JNDI Tree' from the popup menu.
If you see the jndi name of your datasource then you've
successfully deployed it and you can try again to deploy  your CMP entity
bean.