Cross-domain connections are not that big of a deal. The servers need to be able to see each other's IP addresses and they need to be able to authenticate. If you are using SQL Authentication, the security is simple. If not, the NT login used for the linked server needs to work on the domain the server resides on. In most situations, you should have a trust relationship between the two domains and you can give the service account for one of the SQL Servers access to the other even though the server is on a different domain.