Data is originated from ASE 15.0.3, it should be loaded into MS SQL
Server 2005 (do not know exact service pack number). Computer with MS
SQL Server has OpenClient from the same version as server (ASE 15.0.3
ESD#1).

Request on MSSQL:
SELECT *
FROM OPENROWSET('MSDASQL','DSN=myASE;UID=xxxxxxxxx;PWD=xxxxxxxxx',
'exec db.sis.test_sp')

fails with an error:

Msg 7357, Level 16, State 2, Line 3
Cannot process the object "exec db.sis.test_sp". The OLE DB provider
"MSDASQL" for linked server "(null)" indicates that either the object
has no columns or the current user does not have permissions on that object.

Of course procedure does have columns and user can run it. From Excel
and isql it works without any problems.
Any suggestions on what is going on with MSSQL?