Can you post the EXACT steps you used? What is the version of SQL Server you are using?
These are the steps you need to do. I did this a while ago and is just copying and pasting my notes from then. It was on a SQL 2008R2 or SQL 2012.
- Setup Linked Server
• In SQL Server Management Studio open Linked Servers and then 'New Linked Server'.
• Inside of appeared wizard – Select the General tab.
• Specify alias name in "Linked server" field.
• Select SQL Native Client as provider.
• Add SQL Server in "Product Name" field.
• In "Data Source" – specify name of the host to be used as linked server.
2.Specify Security
• In Security tab – specify proper security options (e.g. security context).
3.Set Server Options
• In Server Options tab – put "Data Access", RPC, "Rpc Out" and "Use Remote Collaboration" to be true.