Gianluca beat me to it, but this is straight from BOL (Create synonym).
Assuming you didn't reverse the db and server in your question, this should work :
EXEC sp_addlinkedserver '06dw';
CREATE SYNONYM dbo.Product FOR [06dw].[06websql\websql].dbo.Product;
The addlinkedserver needs to be executed only once for that server no matter how many synonyms you need.
This is also another way to make sure the create synonym works.
Do Select * FROM [06dw].[06websql\websql].dbo.Product
When that query works, the create Syn. should also work.