Linked server Cannot initialize the data source object of OLE DB provider

if you try to create the linked server using studio and the various menus, a small detail is not saved in the connection string, which is the database! (see last bit of the connection string)

Try this:It works for me

EXEC master.dbo.sp_addlinkedserver @server='MYSQL',
   @srvproduct='MySQL',
       @provider='MSDASQL', @provstr='DRIVER={MySQL ODBC 5.1
       Driver};SERVER=HOST;Port=3306;USER=uid;PASSWORD=pw;OPTION=3;DATABASE=mydb';

Linked server Cannot initialize the data source object of OLE DB provider

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