So BOL is wrong. From the link
It is strongly recommended that you do not create any stored procedures using sp_ as a prefix. SQL Server always looks for a stored procedure beginning with sp_ in this order:
The stored procedure in the master database.
The stored procedure based on any qualifiers provided (database name or owner).
The stored procedure using dbo as the owner, if one is not specified.
Because running the example it most definatly runs the SP in the current database before the master database.
/T