If you use the jumpstart document mentioned in one of the other replies you should note that the right click method for createing a new data link file mentioned may not work -depending on your operating system. To create one in this situation you create an empty file with a .udl extension and once it is created then double click on it in explorer to create the real file. The article was done in 1999 and never updated to reflect this. That little detail caused me a good bit of grief.