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There Is No Instance Named X Error in PSSDiag

Eric Cobb troubleshoots an error:

I’m writing this as a reminder to myself for a problem I just had to solve. When running the PSSDIAG tool, if you are running it against SQL 2016 SP2 or higher, you may get the following error:

There is no instance named “YourServer”
Message: The parameter is incorrect

Click through for the solution.