On a linked server Properties, Security you can specify what login to use for remote SQL Server

>Let me start by saying that I have all of about 5 minutes experience with linked servers. I was able to create a linked server, then created this sproc:
>
>

>CREATE PROCEDURE ap_GetProjectReportData
>	@ProjectId	INT,
>	@PrimaryWhseId INT,
>	@SecondaryWhseId INT
>
>AS
>
>	SELECT	c.[Name] AS CompanyName,
>			ce.ContractNumber,
>			ce.Territory,
>			hp.PartId,
>			hp.Part_Number,
>			hp.Keyword,
>			hp.Part_Description,
>			hp.Category
>		FROM ProjectDataStore pds 
>		JOIN HPPartsData hp ON pds.Part_Number = hp.Part_Number
>		JOIN SunRemote.AlertCRM.dbo.v_CompanyEquipment ce ON hp.Part_Number = ce.ItemNumber
>		JOIN SunRemote.AlertCRM.dbo.Company c ON c.CompanyId = ce.CompanyId
>		JOIN Warehouses w ON w.Caption = ce.Territory
>		WHERE pds.ProjectId = @ProjectId  AND
>			  (w.WarehouseId = @PrimaryWhseId OR
>			   w.WarehouseId = @SecondaryWhseId)
>		ORDER BY Part_Number, ContractNumber, Category, Territory
>
>

>
>I don't think the sproc is relevant here, but I wanted to post it any how.
>
>When I run this on my client's machine it errors with "Login failed for user 'NT AUTHORITY\ANONYMOUS LOGON'. After much Googling, I found this http://support.microsoft.com/?id=238477.
>
>Problem is, this is WAY outside the bounds of my SQL experience. I'm not even sure I understand the problem, let alone how to go about fixing it.
>
>In summary, I created a link server on my PC and the Client's site, and the sproc runs in SSMS on both my PC and theirs. When I call the SPROC from the app, I get the error.
>
>In short, HELP!!