You need to use the http://dev.mysql.com/downloads/connector/odbc/3.51.html (be sure to download the appropriate version for your MySQL Database; the link is for version 3.51) to create a Linked Server to the MySQL Server, and then run a SQL query to copy your database, table by table. The query is (write the database name, server name, user and password specific to your server):
EXEC master.dbo.sp_addlinkedserver @server = N'MYSQL', @srvproduct=N'MySQL', @provider=N'MSDASQL', @provstr=N'DRIVER={MySQL ODBC 3.51 Driver}; SERVER=127.0.0.1; DATABASE=Db_NAME; USER=myusername; PASSWORD=mypass; OPTION=3'
Then you’ll have to copy your database table by table. The code for one of the tables will be:
select * into MSSQL_DB_Name.dbo.TableName
from openquery(MySQL, 'select * from Db_Name.TableName')
http://www.codeproject.com/KB/database/migrate-mysql-to-mssql.aspx
http://studentclub.ro/lucians_weblog/archive/2007/04/30/migrate-from-mysql-to-ms-sql-server-2005-express-edition.aspx
http://technet.microsoft.com/en-us/library/cc966396.aspx