SQL Server --> Informix DB Linked Server
We had a nightmare setting something similar up, specifically with the issue of connecting to multiple Informix environments. I had several Informix instances that needed to be linked to a single SQL Server instance for warehousing purposes, and was told by our resident SME that this was impossible; only a single Informix instance could be referenced per server. 

I would consistently receive the same errors as you, and nothing I was able to dredge up online proved helpful.

Ultimately, the solution had several parts, of which you've done the first few:


The correct IBM Informix ODBC Driver must be installed on the database server.
Use the SetNet32 application provided with the drivers and set up the Server Information tab appropriately. Additionally, set up a corresponding System DSN entry.
The trick with the Linked Server setup is to use the following (items in codeblocks are literal):


Provider: Microsoft OLE DB Provider for ODBC Drivers
Product Name: Ifxoledbc
Data Source: $YourSystemDSNName
Provider String


Driver = {IBM INFORMIX ODBC DRIVER}
Database = $YourDatabaseName
etc...




If you're more of a manual SQL kind of person, see below. The provider string is pulled into a variable for inline commenting purposes only, while still having executable code. Modify as needed:

DECLARE @provider NVARCHAR(4000);
SET @provider = N'Driver={IBM INFORMIX ODBC DRIVER};'
  + N'DATABASE= ;'  --Informix DB name
  + N'HOST= ;'      --Informix Hostname or IP adddress
  + N'SERVICE= ;'   --Informix service name, ex.  ifx1_tcp1
  + N'PROTOCOL= ;'  --Informix protocol, ex.  onsoctcp
  + N'SERVER= ;'    --Informix server, ex. ifx1
  + N'DB_LOCALE=en_US.819; CLIENT_LOCALE=en_US.819;'; --Change to your locale, as needed

EXEC master.dbo.sp_addlinkedserver 
@server = N'UCCX', --Linked Server system name
@srvproduct=N'Ifxoledbc', 
@provider=N'MSDASQL', 
@datasrc=N' ', --Your System DSN Name
@provstr= @provider;


Since you're dealing with a single instance, it should be enough to simply match the values used to create your System DSN. If you need to add additional linked servers for other instances, that can be done following exactly the same format described above without additional DSN entries.

I hope that helps.