I connect cross domain with SSMS -- but I have to set up an alias in my SQL Server client configuration.
You can try this:
Follow John's steps to issue the net use command.
Open SQL Server Client Network Utility (start-> run->enter "cliconfg")
1. enable Named Pipes protocol (and move to top in the order)
2. under the Alias tab, add a new alias with:
a. "Named Pipes" selected under Network Libraries
b. enter [servername], for servername (you should see something like "\\[servername]\pipe\sql\query" in the pipe field)
What I haven't figured out is if the order (net use vs. cliconfg) matters. sometimes i've had to delete the connection and the alias and start all over before
I get a good connection).