You have to set those properties when you create SP.

SET ANSI_NULLS    ON
SET ANSI_WARNINGS ON
CREATE ...

>>Msg caption-Macrosoft SQL-DMO(ODBC SQLState-42000)
>>Error:7405.Heterogeneous queries require the ANSI_NULLS and ANSI_WARNINGS options to be set for the connection.This ensures consistent query semantics.
>>Enable these options and then reissue your query.
>>
>>-I already have enabled these options in server properties,but seems no effect.Have you gotten the testing passed?
>
>
>>What happens if you put:
>
>SET ANSI_NULLS ON
>SET ANSI_WARNINGS ON
>
>SELECT a.* FROM
> OPENROWSET('MICROSOFT.JET.OLEDB.4.0',
> 'Text;Database=D:\textfile\;',
>> 'SELECT * FROM [20060710000#txt]' ) a
>
>Still showing the same error msg.