DISTRIBUTED TRANSACTION HELP

I try to use disrtibuted transaction. First,I use MSDASQL successfull:

set XACT_ABORT on
set ANSI_NULL_DFLT_ON on
set ANSI_WARNINGS on
BEGIN DISTRIBUTED TRANSACTION
select * from OPENDATASOURCE('MSDASQL','DRIVER={SQL Server};SERVER=192.168.2.1;UID=sa;PWD=PASSWORD;').pubs.dbo.jobs
commit tran

Then I try to use SQLOLEDB, But failure:

set XACT_ABORT on
set ANSI_NULL_DFLT_ON on
set ANSI_WARNINGS on
BEGIN DISTRIBUTED TRANSACTION
select * from OPENDATASOURCE('SQLOLEDB','Data Source=192.168.2.1;User ID=sa;Password=PASSWORD').pubs.dbo.jobs
commit tran

I get the following error message:
The operation could not be performed because the OLE DB
provider 'SQLOLEDB' was unable to begin a distributed
transaction.
[OLE/DB provider returned message: New transaction cannot
enlist in the specified transaction coordinator. ]
OLE DB error trace [OLE/DB Provider 'SQLOLEDB'
ITransactionJoin::JoinTransaction returned 0x8004d00a].



but I run the code use SQLOLEDB without DISTRIBUTED TRANSACTION success:

select * from OPENDATASOURCE('SQLOLEDB','Data Source=192.168.2.1;User ID=sa;Password=PASSWORD').pubs.dbo.jobs


WHY? Please help me!