It is not a problem that you had a database open in MySQl (from whatever client).. But if the .dbf file was open in another program it could be a problem.
Since this happens at a specific row this is likely a data specific issue. I don't know what “SPSS” is. But the exported .dbf file could have a problem with specific data. Can you import into Excel/Access or whatever from the .dbf? The error is with the ODBC driver and/or the .dbf file and not with SQLyog definitely! It is the ODBC driver that returns an error.
If you have an option to export as CSV that may be a solution/workaround.