I'm not sure the EXECUTE...AT construct was available in SQL 2000.
Concatenate the parameters and use OPENQUERY:
DECLARE @ICVR_CLAIM_NBR VARCHAR(19)
SET @ICVR_CLAIM_NBR= 'XXXXXXXXXXXXXXXXXXX'
DECLARE @sql varchar(100)
SET @sql = 'SELECT * FROM OPENQUERY(EXCEEDPP,''call PPSPCOL.X2COVSEL (''''' + @ICVR_CLAIM_NBR + ''''')'')'
EXEC(@sql)
-- Gianluca Sartori