I have experienced the same issue. And I found out that the problems lies on your mdb password. If you are using logon password on your mdb you can use linkedserver and openrowset to do querry.

EXEC sp_addlinkedserver

@server = N'MyLinkServer',

@provider = N'Microsoft.Jet.OLEDB.4.0',

@srvproduct = N'OLE DB Provider for Jet',

@datasrc = N'C:\TEMP\TEST.MDB';

select * From OPENROWSET('Microsoft.Jet.OLEDB.4.0', 'C:\TEMP\TEST.MDB';;, tablename)

But if your mdb using database password, you need to change it first to logon password.