[ODBC Driver Manager] Driver does not support this function … ‘MSDASQL’ IDBInitialize::Initialize

On a new SQL Server I was trying to run an OPENROWSET query that opened a Foxpro free table and was getting this error. It turned out the latest Foxpro drivers were not yet installed. An easy way to find the drivers and their dates is to open the ODBC Data Source Administrator and click on drivers. You could also test by trying to create an ODBC connection to Foxpro.
 
Server: Msg 7399, Level 16, State 1, Line 1
OLE DB provider 'MSDASQL' reported an error.  
[OLE/DB provider returned message: [Microsoft][ODBC Driver Manager] Driver does not support this function]
OLE DB error trace [OLE/DB Provider 'MSDASQL' IDBInitialize::Initialize returned 0x80004005:   ].
 
e.g. 

SELECT *   
FROM  OPENROWSET (
  
'MSDASQL','Driver=Microsoft Visual FoxPro Driver;SourceDB=E:\DATA;SourceType=DBF;',
  
'SELECT  * FROM MyFreeTable;'
)

Once the correct drivers were installed we could run the query, above, and create ODBC connections. Then, we were getting this error, but only when not running directly on the server itself.

OLE DB provider "MSDASQL" for linked server "(null)" returned message "[Microsoft][ODBC Visual FoxPro Driver]File 'hprofile.dbf' does not exist.".
Msg 7350, Level 16, State 2, Line 1
Cannot get the column information from OLE DB provider "MSDASQL" for linked server "(null)".

So, our OPENROWSET queries and the linked server queries could be run locally to the server. There must still be some proxy permissions or security something we still need to set. 

Still, another error we're getting is this: 
Cannot get the schema rowset 'DBSCHEMA_CATALOGS' for OLE DB provider "SQL Server" for linked server "(null)" — huh?

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