querying from more than 2 dbs

I have two different databases in two different servers.
How can I set up my dsn to query the two different databases?
For instance,
To make this below sample query:

select dbo.databaseName.tableName.fieldName,
theOtherdbo.otherDatabaseName.OtherTableName.otherFieldName
from dbo.databaseName.tableName,
theOtherdbo.otherDatabaseName.OtherTableName
where dbo.databaseName.tableName.key = theOtherdbo.otherDatabaseName.OtherTableName.key
how can I set up the dsn?
Thanks in advance