Din SSMS, Object Explorer - Server Objects - Linked Servers - folositi properties pentru a configura securitatea linked server-ului definit.
Aveti aici cateva optiuni http://technet.microsoft.com/en-us/library/ff772782.aspx

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Cristian Andrei Lefter, SQL Server MVP
MCT, MCSA, MCDBA, MCAD, MCSD .NET,
MCTS, MCITP - Database Administrator SQL Server 2005
http://sqlserver.ro