Are you still around? Or does somebody else know how to solve this? I'm trying to do the same thing, also using SQL Server 2005. I'm getting this error-

OLE DB provider "MSDASQL" for linked server "ABS" returned message "[Microsoft][ODBC Driver Manager] Driver's SQLSetConnectAttr failed".

OLE DB provider "MSDASQL" for linked server "ABS" returned message "[Sybase][ODBC Driver][SQL Anywhere]Unable to start specified database: Access is denied.".

Msg 7303, Level 16, State 1, Line 2

Cannot initialize the data source object of OLE DB provider "MSDASQL" for linked server "ABS".

I'm wondering what other settings you had set up.