Whenever you access a linked table in SQL Server it promotes your transaction to a distributed transaction.
It then required DTS (Distributed Transaction Server) service to process the distributed transaction.
First, check that the service DTS is installed and running.
Next, the DTS expects a ODBC driver instead of a OLE DB driver.
I'm tracking down how to configure the OLE DB driver to work with DTS, but its slow going.
If you find out how to do it, let me know.