Error Querying MySQL server linked to SQL Server 2008
it looks like a permission issue with the authentication mode you're using against your mysql server. You can test the linked servers using the stored procedure "sp_testlinkedserver" - details here. See if you can take data from your linked server using simple select statement: "select top 10 * from server.database.schema.table".
The MS error is for the action "Script as" - when you want to script the schema of an object, not for simply selecting data.
I've just stumbled on this post while encountering the same issue, this link shows how to link up properly. I'm using 5.2 connector and it walks you through each setting you need. http://www.packtpub.com/article/mysql-linked-server-on-sql-server-2008