I am trying to insert records into MySQL database from a MS SQL Server using the "OPENQUERY" but what I am trying to do is ignore the duplicate keys messages. so when the query run into a duplicate then ignore it and keep going.
What ideas can I do to ignore the duplicates?
Here is what I am doing:
The problem is that when joining table A to Table B some times I find 2+ records into table B matching the criteria that I am looking for which causes the value A.record_id to 2+ times in my data set before inserting that into table A which causes the problem. Note I can use aggregate function to eliminate the records.
I don't think there is a specific option. But it is easy enough to do:
insert into oldtable(. . .)
    select . . .
    from newtable
    where not exists (select 1 from oldtable where oldtable.id = newtable.id)
If there is more than one set of unique keys, you can add additional not exists statements.
EDIT:
For the revised problem:
insert into oldtable(. . .)
    select . . .
    from (select nt.*, row_number() over (partition by id order by (select null)) as seqnum
          from newtable nt
         ) nt
    where seqnum = 1 and
          not exists (select 1 from oldtable where oldtable.id = nt.id);
The row_number() function assigns a sequential number to each row within a group of rows.  The group is defined by the partition by statement.  The numbers start at 1 and increment from there.  The order by clause says that you don't care about the order.  Exactly one row with each id will have a value of 1.  Duplicate rows will have a value larger than one.  The seqnum = 1 chooses exactly one row per id.
If you are on SQL Server 2008+, you can use MERGE to do an INSERT if row does not exist, or an UPDATE.
Example:
MERGE
INTO    dataValue dv
USING   tmp_holding_DataValue t
ON      t.dateStamp = dv.dateStamp
        AND t.itemId = dv.itemId
WHEN NOT MATCHED THEN
INSERT  (dateStamp, itemId, value)
VALUES  (dateStamp, itemId, value)
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