Hope you are creating linked Server using Wizard..
1. Expand SQL Server in SSMS
2. Expand Server Objects -> Linked Servers and Right click Linked Server
3. Choose New Linked server and in General page, provide your Informix database details
4. In Security tab, provide User name and password in "Be made using the security context" which should work.
snapshots below:
http://www-01.ibm.com/support/docview.wss?uid=swg21195578