Normally, it is easy enough to setup a Linked Server on SQL Server to other data sources. Problems are usually caused by one of the usual culprits that have to be addressed
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SQL Logins simply do not work well when trying to do this type of setup
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The Windows login has to have permissions to the file (on a drive or network share)
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The appropriate drivers have to be setup (64 bit / 32 bit)
Read on for a few different errors and their solutions.