Hi Tina,
If the database servers are on separate machines you can configure a linked
server or use ad hoc distributed queries.. This can be done from within the
Enterprise Manager or you can use the sp_addlinkedserver procedure, for
ad-hoc distributed queries take a look at OPENROWSET.
In both cases you will be setting up a single connection to one server and
the server will manage the connection and retrieval of data from the other
server. For databases on a single server you merely need to prefix the
object name with the database name to query accross databases.
Hope this helps