Sure this is possible.
Take nwind.mdb in root of C drive for example
Create new linked server in SSMS
Linked Server = NWIND
- Other Data Source Checked
Provider = Microsoft Jet 4.0 OLE DB Provider
Product Name = OLE DB Provider for Jet
Data Source = c:wind.mdb
Save it.
Now can query:
select *
from [NWIND]...[Categories]