The OLE DB provider is included in the SQL Anywhere 12 client install but you need to manually register the driver as detailed here:
https://infocenter.sybase.com/help/index.jsp?topic=/com.sybase.help.sqlanywhere.12.0.1/dbprogramming/pg-oledb-registration.html
- Open a command prompt and navigate to %programfiles%\SQL Anywhere 12\Bin32 (for 32 bit)
- Run "regsvr32 dboledb12.dll" and "regsvr32 dboledba12.dll"
Refresh the providers list in SSMS and SAOLEDB.12 should now be there.
Add the linked server using a command like this:
EXEC master.dbo.sp_addlinkedserver @Testta = 'AnyName', @srvproduct='AnyName', @provider='SAOLEDB.12', @location='10.0.1.1:2638', @provstr='server=SaServerName', @catalog='InitDBName'
As per the following documentation page you will also need to add a security mapping (DB login), RPC server setting and InProc provider settings :
https://infocenter.sybase.com/help/index.jsp?topic=/com.sybase.help.sqlanywhere.12.0.1/dbprogramming/pg-oledb-linked-servers.html