Linked server works on server but not with client tools

[fpower]

Hello All,

I am having trouble with linked servers. I have a sql2005 server and a sql2008 server. Everything works fine when I am on the either sql server, but when I use Management Studio on my desktop I get the error below.
Thanks for any help you can provide.

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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Login failed for user 'NT AUTHORITY\ANONYMOUS LOGON'. (Microsoft SQL Server, Error: 18456)

Any guidance will be apprciated.