Error 7399 when the Access file has a password
The problem was the file. I got a Windows XP virtual machine that has the MS Access 95. So I could open the file to delete the current password and change groups permissions. Now the linked server works.

It seems neither Microsoft.ACE.OLEDB.12.0 nor Microsoft.Jet.OLEDB.4.0 can deal with MS Access 95 security policy. But I really don't know why.