I needed to move several medium size MySQL backend apps to SQL server 2005 and did not have a cool tool for doing it. I found a way that was suprisingly easy... To do this you will need to install the ODBC drivers for your version of MySQL; I'm using MySQL 5.

Then in your SQL Management Studio, modify and run the following code.

EXEC master.dbo.sp_addlinkedserver
    @server = N'MYSQL',
    @srvproduct=N'MySQL',
    @provider=N'MSDASQL',
    @provstr=N'DRIVER={MySQL ODBC 5.1 Driver}; SERVER=127.0.0.1; DATABASE=db_name; USER=user; PASSWORD=pass; OPTION=3'

Then write seperate scripts that contain an instance of the following pieces of code per table in your MySQL db. In my case I had about 40 tables, so I wrote a ColdFusion job to do it smartly and added SQL to drop the target table if it existed.

SELECT * INTO [target_mssql_db].dbo.[target_mssql_table]
FROM openquery(MySQL, 'select * from mysql_db_name.mysql_tablename')

One of my apps had some tables with LOTS of rows, so I also set my script up to only run 5 conversions at a time to avoid timing out MSSQL locks. This should also work on MSSQL 2000 and I'm sure at least a few versions back of MySQL.