Ramon,
I told you I was confusing myself.
USE TEST
GO
CREATE PROCEDURE dbo.sp_ControlStock AS SELECT 'ONE', 'TWO', 'THREE'
GO
SELECT *
FROM OPENROWSET('SQLNCLI', 'Server=.;Trusted_Connection=yes;',
'exec TEST.dbo.sp_ControlStock');
GO
That works fine for me. Maybe you should start over, or go another route.