Best practice would be to create a stored procedure on the SQL Server to make the request for the linked data. But I think you could just write the SQL statement with the four part names used for linked queries and pass that through to the SQL Server.
In any case you will need to deal with permissions for the SQL Server connection either setting up Kerberos to allow the forwarding of credentials, or set up SharePoint's Secured Store Service to store the SQL credentials.
Without some security setup, you won't get past the dialog box in your screen capture.
Mike Smith TechTrainingNotes.blogspot.com