Assuming you are migrating from SQL to SQL, IMO, you should try and use sp_addlinkedserver instead - this way your database administrator better looks at and controls access to cross-server data.
The only reason I might think why you want to use OPENROWSET is if you want direct access to a non-SQL data store, but you can consider other application-level technologies that might be preferable, for example. DTS / SSIS or custom application with two connection strings.
However, there seems to be a bug with the Ad Hoc Queries option .
Stuartlc
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