Might need to take this one to Quest Support, but first a few questions:
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Did you install, by chance, the .Net provider for Teradata, in addition to a supported Teradata ODBC driver?
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You are able to connect to Teradata successfully via both (a) the native protocol and (b) your ODBC driver?
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You're able to build the cross-connect query in the Query Builder... do you get the same error message when you run the query directly from the Query builder?