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.