Please read: http://www.webyog.com/faq/26_49_en.html.
So I just think you will need to change
to
We discussed recently here http://www.webyog.com/forums/index.php?showtopic=1990
It would be nice if SQLyog supported both forms, but the DELIMITER statement is NOT part of the (my)SQL language, and any client can implement this as it likes.
An actually the concluding delimiter statement in your script follows Syntax that SQLyog supports – and not MySQL command-line syntax!!