Forse in questo modo?

USE [master]
GO
EXEC master.dbo.sp_addlinkedserver
@server = N'nome_server_da_linkare_a_quello_in_uso',
@srvproduct=N'SQL Server' ;
GO

EXEC master.dbo.sp_addlinkedsrvlogin
@rmtsrvname = N'nome_server_da_linkare_a_quello_in_uso',
@locallogin = NULL ,
@useself = N'True' ;
GO