I found that you can prefix server name in From part.
For example, you connect to serverA
(Assuming you have added the linked serverB)
select * into [db].[owner].
from [serverB].[db].[owner].
This works.
But NOT in the one below, even you are connected to serverA:
select * into [serverA].[db].[owner].
from [serverB].[db].[owner].
This test is on SQL server 2008