This is due to an ODBC-driver that uses the 'regional settings' of the client machine when generating the data stream from the source database. This can affect the use of the characters " , " (comma), " . " (punctuation) and " ; " (semicolon).
Among ODBC-drivers that does this, is the driver for the (in Europe in particular) popular Navision administrative software. This is probably implemented this way to support import to (Continental European) localized version of Microsoft Excel.
But as neither MySQL nor SQLyog uses this type of regional settings for any purpose, the stream of data generated is invalid with MySQL. If there is no setting available with the driver to bypass the regional settings, you will have to temporarily change the regional settings of the client machine to English while importing. The settings are available from Windows' Control Panel... Regional Settings.
Also some driver versions for Oracle and Microsoft SQL server use 'regional settings'. However most often it can be turned of in the driver settings. If not you should probably upgrade the driver.