Linked servers: Transaction context in use by another session
http://msdn.microsoft.com/en-us/library/ms188716.aspx


  Loopback linked servers cannot be used in a distributed transaction. Trying a distributed query against a loopback linked server from within a distributed transaction causes an error, such as error 3910: "[Microsoft][ODBC SQL Server Driver][SQL Server]Transaction context in use by another session." This restriction does not apply when an INSERT...EXECUTE statement, issued by a connection that does not have multiple active result sets (MARS) enabled, executes against a loopback linked server. Note that the restriction still applies when MARS is enabled on a connection.