Que tal agora:
USE TargetDatabase
GO
INSERT INTO dbo.TargetTable(field1, field2, field3)
SELECT field1, field2, field3
FROM SourceDatabase.dbo.SourceTable
WHERE (some condition)
USE TargetDatabase
GO
INSERT INTO dbo.TargetTable(field1, field2, field3)
SELECT field1, field2, field3
FROM SourceDatabase.dbo.SourceTable
WHERE (some condition)