To create a linked server (SQL Server 2008). Click Start, click All Programs, click Microsoft SQL Server 2008 R2, and then click SQL Server Management Studio.In the Connect to Server dialog box, specify the name of the appropriate SQL Server, and then click Connect.In SQL Server Management Studio, double-click Server Objects, right-click Linked Servers, and then click New Linked Server.o create a linked server (SQL Server 2008). Click Start, click All Programs, click Microsoft SQL Server 2008 R2, and then click SQL Server Management Studio.