HOWTO load mysqldump into ms sql

the best way to create new dump file from mysql database without extended inserts and locks with command

> mysqldump --no-create-info --extended-insert=FALSE --skip-add-locks --single-transaction

If you have already existing SQL file created by mysqldump, it contains by default extended inserts.
You can try following perl script to reformat SQL queries.
>  mysqldum2mssql.pl  mysql_dump.sql  > mssql_dump.sql

#!/usr/bin/perl

# MySQL dump was created as
# >mysqldump -u USER -p  --no-create-info --extended-insert DB_NAME > mysql_dump.sql

while(<>){
 if(/^(INSERT INTO .*? VALUES)(.*)$/i){
   my $insert_into_table = $1;
   my $values = $2;

   $insert_into_table =~ s/`//g;
   
   (my $table_name = $insert_into_table) =~ m/INSERT INTO (.*?) VALUES/;
   
     my @arr_values = $values =~  m{
        \(                  # opening (
         (                  # Start capture
            (?:             # non-capturing group
                [^()']+     # ignore inner brackets
             |  '[^']*'     # skip all between single quotes
            )*              # and repeat
         ) 
        \)                  # final )
       }gx
       ;
   
   foreach(@arr_values){
        print "$insert_into_table ($_);\n";
        print "GO\n";
   }
 }
}

1;

The resulting SQL file contains single insert per line and GO after each line. The file can be loaded into MSSQL compact edition (CE) with utility SqlCeCmd40

Enjoy!