USE [master]
GO

DECLARE @LinkedServer VARCHAR(20)

SET @LinkedServer = 'MYSQL_DSNLESS'

IF EXISTS ( SELECT  * FROM  sys.servers WHERE   [name] = @LinkedServer )
    EXEC sp_dropserver @server = @LinkedServer, @droplogins = 'droplogins'

EXEC master.dbo.sp_addlinkedserver
     @server = @LinkedServer
    ,@srvproduct = @LinkedServer
    ,@datasrc = @LinkedServer
    ,@provider = N'MSDASQL'
    ,@provstr = N'DRIVER={MySQL ODBC 5.3 ANSI Driver};SERVER=servername;PORT=3306;DATABASE=mysqlschemaname;USER=mysqlusername;PASSWORD=mysqlpassword;OPTION=3'
    ,@catalog = N'ecn'

EXEC master.dbo.sp_addlinkedsrvlogin @rmtsrvname = @LinkedServer, @useself = N'False', @locallogin = NULL, @rmtuser = N'mysqlusername', @rmtpassword = 'mysqlpassword'

EXEC master.dbo.sp_serveroption @server = @LinkedServer, @optname = N'collation compatible', @optvalue = N'false'
EXEC master.dbo.sp_serveroption @server = @LinkedServer, @optname = N'data access', @optvalue = N'true'
EXEC master.dbo.sp_serveroption @server = @LinkedServer, @optname = N'dist', @optvalue = N'false'
EXEC master.dbo.sp_serveroption @server = @LinkedServer, @optname = N'pub', @optvalue = N'false'
EXEC master.dbo.sp_serveroption @server = @LinkedServer, @optname = N'rpc', @optvalue = N'false'
EXEC master.dbo.sp_serveroption @server = @LinkedServer, @optname = N'rpc out', @optvalue = N'false'
EXEC master.dbo.sp_serveroption @server = @LinkedServer, @optname = N'sub', @optvalue = N'false'
EXEC master.dbo.sp_serveroption @server = @LinkedServer, @optname = N'connect timeout', @optvalue = N'0'
EXEC master.dbo.sp_serveroption @server = @LinkedServer, @optname = N'collation name', @optvalue = NULL
EXEC master.dbo.sp_serveroption @server = @LinkedServer, @optname = N'lazy schema validation', @optvalue = N'false'
EXEC master.dbo.sp_serveroption @server = @LinkedServer, @optname = N'query timeout', @optvalue = N'0'
EXEC master.dbo.sp_serveroption @server = @LinkedServer, @optname = N'use remote collation', @optvalue = N'true'
EXEC master.dbo.sp_serveroption @server = @LinkedServer, @optname = N'remote proc transaction promotion', @optvalue = N'true'
GO

SELECT * FROM OPENQUERY(MYSQL_DSNLESS, 'SELECT * FROM mysqlschemaname.table01')

OLE DB provider "MSDASQL" for linked server "MYSQL_DSNLESS" returned message "[Microsoft][ODBC Driver Manager] Data source name not found and no default driver specified".
Msg 7303, Level 16, State 1, Line 1
Cannot initialize the data source object of OLE DB provider "MSDASQL" for linked server "MYSQL_DSNLESS".