I've used this before to setup a query against another server and db via linked server:
EXEC sp_addlinkedserver @server='PWA_ProjectServer', @srvproduct='',
@provider='SQLOLEDB', @datasrc='SERVERNAME\PWA_ProjectServer'
per the comment above:
select * from [server].[database].[schema].[table]
e.g.
select top 6 * from [PWA_ProjectServer].[PWA_ProjectServer_Reporting].[dbo].[MSP_AdminStatus]