In sql server, can I connect to multiple server/database in the same query, by issuing a connection string for each server/database?

In sql server, can I connect to multiple server/database in the same query, by issuing a connection string for each server/database?  

In DB2 I can have the workstation cataloged to different servers/databases and then just issue a connection statement to query the new server/database within the query.
DBAServicesAsked:
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Eugene ZCommented:
also you can use

OPENDATASOURCE
http://msdn.microsoft.com/en-us/library/ms179856.aspx

and\or

OPENROWSET

http://msdn.microsoft.com/en-us/library/ms190312.aspx

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you can use sql server command lines utilities in t-sql code:

sqlcmd
http://msdn.microsoft.com/en-us/library/ms162773.aspx
 osql
http://msdn.microsoft.com/en-us/library/ms162806.aspx

for example

exec xp_cmdshell "sqlcmd..
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Microsoft SQL Server 2008

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