You may be interested in reading one of my posts, which explores the use of EXECUTE...AT clause for executing queries against linked servers: http://beyondrelational.com/blogs/nakul/archive/2011/01/10/executing-queries-against-linked-servers.aspx
Thanks & Regards,
Nakul Vachhrajani.
http://nakulvachhrajani.com
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Twitter: @sqltwins