Hi Alain,
Please edit that script with a text editor.
/Setup/applications/linksmodule/SchemaUpgradeScripts/mssql/0.0.0.3.config
change dbo.mp_Links_Select to [dbo].mp_Links_Select
Then visit setup page again.
I have corrected this in my copy of the script so it will be fixed in the next release. This issue does not affect most installations because most installations use a user with dbo membership.
Hope it helps,
Joe