How locate error "Login failed for user 'user_test'" inside huge stored procedure?
SQL Profiler can capture the individual statements in a stored procedure. See details here. Using such capture I have identified statement preceding an error. Then I have searched through SQL code using Toad. Problem was pinpointed. It was something like:
exec sp_executesql 'select top 1 * from openquery(ext_server, ...

If there exists more elegant solution to this - please post an answer here.