Create Link Server SQL 2005

Does anyone have a good reference for creating link servers in SQL 2005?  I'm getting the following error and don't understand why.

TITLE: Microsoft SQL Server Management Studio
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"The linked server has been created but failed a connection test. Do you want to keep the linked server?"

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ADDITIONAL INFORMATION:

An exception occurred while executing a Transact-SQL statement or batch. (Microsoft.SqlServer.ConnectionInfo)

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The OLE DB provider "SQLNCLI" for linked server "MYServer" reported an error. Authentication failed.
Cannot initialize the data source object of OLE DB provider "SQLNCLI" for linked server "MyServer".
OLE DB provider "SQLNCLI" for linked server "MyServer" returned message "Invalid authorization specification". (Microsoft SQL Server, Error: 7399)

For help, click: http://go.microsoft.com/fwlink?ProdName=Microsoft+SQL+Server&ProdVer=09.00.3042&EvtSrc=MSSQLServer&EvtID=7399&LinkId=20476

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