Aaron Berquist demonstrates Using SmartList Builder With A Linked Server – It Can Be Done!
This is actually very cool and worth a look.
Using SmartList Builder With A Linked Server – It Can Be Done! | Aaron Berquist – High Dynamic Range
Reporting & BIInstall, Upgrade & Admin
Archived post from 2011. Dynamics GP and the links it points to have changed since; check current documentation before relying on version-specific steps.