Open a notepad file..type in the below command

sqlcmd -s -E -Q

pause

save the file as .bat file and just double click on the file..it will run the required commond...for testing initially...

Can you logon to the linked server and check if you have given the user account(under which the job is running) “Connect” rights to the default database on the linked...

Yes, its very much possible using sqlcmd..hopefully you are using SQL 2005 version...

Sample script

sqlcmd -S. -E -Q "select * from sys.objects"

pause

save the above file as .bat and try