I think the best help is that I give you my test.... here is my stored proc

CREATE procedure dbo.asp_SetTmpImpPaye

(
	@Id_Usager int= null,
	@Langue varchar(1) = '',
	@DateDebut varchar(10) = '',
	@DateFin varchar(10) = ''
)

as

SET ANSI_NULLS ON
SET ANSI_WARNINGS ON
SET NOCOUNT ON

begin
	SELECT     *
	FROM OPENQUERY(Datadis, 'select * from livre')
end
GO

>>I pus those two settings on, but I still got the error.
>
>Where/how did you set them?
>
>>What is BOL ?
>
>"SQL Server Books Online" - SQL Server help.
>
>>
>>>The OPENQUERY() (distributed query) requires

SET ANSI_WARNINGS ON
>>>SET ANSI_NULLS ON

QA uses ODBC which sets both values to ON by default. A stored procedure uses SET ANSI_NULLS settings at the time of it's creation. Any SET ANSI_NULLS inside stored procedure are ignored. See BOL for more details.