This is a server error nad not related to SQLyog. Any other client would face the same problem with same query – if you google it you will find lots of reports of same error with 'mysqldump' for instance. To resolve this a lot of information about the environment (server version & configuraton, Operating System) may be needed. And it is outside the scope of our product support. The question fits better in the MySQL forums (but not much chance that you will really get help there unfortunately).
Let me explain the error message: The file '.retrosheetmetsevents#P#p18.MYD' is a MyISAM data file containing data for a table named `metsevent_with_some_special_character_at_the_end` in a database named `retrosheet`. Whne you select from the table the server would need resources to open the file. A resoruce may be memory (unlikely here) or a file descriptor/file handle for instance.
You may try to raise the open_file_limt setting in MySQQL configuration – refer http://dev.mysql.com/doc/refman/5.5/en/server-options.html#option_mysqld_open-files-limit – or simply try to restart the server to free ununsed/orphaned file handles/file descriptors.
I found a few links for you:
http://dev.mysql.com/doc/refman/5.5/en/server-options.html#option_mysqld_open-files-limit
Fix Out of Resource Problem with MySQL
