The ultimate goal in this task to to take a complete database in MySQL and export it to MSSQL. I was hoping to be able to do this with mysqldump.
Document specificly addressing mysql to mssql 2005: http://download.microsoft.com/download/e/c/8/ec8d5025-7ef7-4dcc-a9f3-9c297cf5350e/MigrateMySQLtoSQLServer.docx
This references mssql 2005, but should be very useful information and it is directly from microsoft.
There is a tool in mssql for major database migrations but, "Note: A Migration Assistant for migrating from MySQL to SQL Server is not available yet. "