I've seen a few approaches to linking to a dbf. I think the one I like best is to use the Visual FoxPro provider that you can download from Microsoft.
Once it's installed the most common way I've seen is to use the following settings:
From EM Linked Server Properties select "OLE DB Provider for Visual FoxPro" as the Provider name
Product name: leave blank
Data source: location of the folder containing the dbf files
Provider string: VFPOLEDB
Other options for linking ot a dbf file include MDAC, ODBC, etc. but what you can do via the link through these options is limited at best, buggy and unpredictable at worst depending on the exact versions. The visual foxpro provider seems to do the best job.
This related SO link also has some additional information regarding linking up to a DBF