After verification, I found that the procedure was executed ok. So, the linked server has been created. But, the same code to import data from VFP into a SQL table, by using the linked server, is not longer working because of an access denied message.

The linked server is created. So, from the script, I only execute this line:

insert [MyTable] ([Numero],[AddUser],[AddDate],[ModUser],[ModDate],[NoStatus],[NoMitTelLo])
Select * From openquery(MyLinkedServer,
'Select Numero,AddUser,AddDate,ModUser,ModDate,NoStatus,NoMitTelLo from MyTable')

I have this message:

Msg 7399, Level 16, State 1, Line 1
The OLE DB provider "VFPOLEDB" for linked server "MyLinkedServer" reported an error. Access denied.
Msg 7350, Level 16, State 2, Line 1
Cannot get the column information from OLE DB provider "VFPOLEDB" for linked server "MyLinkedServer".