It's the double hop issue that always prevents me from using the

Trusted_Connection=yes

However, if the account that runs your SQL Server instance has the ability to register its own SPN as is explained at

http://blogs.msdn.com/sql_protocols/archive/2005/10/12/479871.aspx

then you should find that the connection you have open is using Kerberos authentication with the following query:

select auth_scheme from sys.dm_exec_connections

where session_id = @@Spid

If it is NTLM then the service account of SQL probably doesn't have the permission to register it's own SPN which causes security to collapse to NTLM which has the affect of disallowing the SQL instance to trust a security token passed to it. The double hop then becomes impossible and the security context is always lost on the second hop. If you are having trouble with the openrowset across servers with error:

Msg 18456, Level 14, State 1, Line 1

Login failed for user 'NT AUTHORITY\ANONYMOUS LOGON'.

then check out http://blogs.msdn.com/sql_protocols/archive/2005/10/12/479871.aspx

This only applies to trusted because there is no security token passed with SQL authentication.