I am not familiar with "Linked Server", but here's what I usually do when converting FoxPro 2.6 tables to SQL.
1. Create a "FoxPro ODBC Free Table directory" and point the directory to the path/folder where your tables are located. (You may have to do this several times if you data is found in different folders)
2. From SQL Server, use the "Import Data..." (right-click on the 'Databases' folder from the Enterprise Manager) to import the FoxPro tables. Use "Microsoft Visual FoxPro" driver as your "Data Source", then select the name of the FoxPro ODBC you created in Step 1. Click "Next" and simply follow the directions and this should import all your FoxPro table to SQL Server.
USER CAVEAT: I've run into problems with tables that have date field and SQL Server is unable to convert the data correctly. To get around this problem, simply create a view of the table and create a formula field which will return .NULL. for any dates that are blank. If you go this route, then you have to setup your ODBC connection as a "FoxPro Database" instead of a "Free Table directory".
I hope this helps....
Arles