Wine has a known issue with Ubuntu 10.4. It is not only SQLyog that is affected by this. Lots of programs are. Best known affected program is probably the 'Dreamweaver' HTML-editor. The only solution is to copy native Windows .dll-files and configure Wine to use those. As a workaround you may follow the steps below to make SQLyog run in Ubuntu 10.4 under Wine.
Copy the following DLLs from Windows XP c:\windows\system32 (or find an Internet site from where they can be downloaded) to /home/username/.wine/drive_c/windows/system32: odbcint.dll and odbc32.dll
Now configure Wine using the winecfg utility to use "Native (Windows)" for the above .dll files. Do by following these steps:
a) Run 'winecfg' from your terminal.
b) Go to 'libraries' tab and add the above .dll files.
c) Now select the same libraries from the list box and click on edit and choose "Native Windows" for each of the above .dll files.
d) Once done press "OK" and you can run SQLyog.