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I think this is no matter with OS.
Just create metadata->Connections or use components about SQL Server.
Then configure all parameters correctly, such as Login, Password, Server, Port, DB, Schema and so on so forth.
Feel free to ask any questions if you encounter some errors.
I need to clarify my question. When a Talend job is exported, a .sh script is created. Part of the job connects to a SQL Server database. My actual question is -- if I run the .sh script from Linux, is there anything else required to make the SQL Server connection, since I am running the script from Linux?