Execute the following in the query analyzer:
-- add the linked server
EXEC sp_addlinkedserver '<Reference Name>', '<Linked server type>', 'Microsoft.Jet.OLEDB.4.0', '<Full Path to DB>'
-- add the login credentials
EXEC sp_addlinkedsrvlogin '<Reference Name>', '<impersonate - true or false>',<Local User or Null>, '<username>', '<pwd>'
-- Help on the linked server:
EXEC sp_linkedservers
EXEC sp_helpserver
select * from sysservers
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/tsqlref/ts_sp_adda_8gqa.asp
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/acdata/ac_8_qd_12_6a44.asp