Jack,
At ArcGIS 10 you should be able to use query layers to execute this type of query and return the result set as a layer in ArcMap. All the DBMS platforms we support, support the concept of cross database queries and many support queries which span multiple database server instances (an example of this technology is "Linked Servers" in SQL Server). As with anything else in the database world, the syntax varies from DBMS to DBMS but it is possible, you will just have to look up the specific syntax for the platform(s) you are working with.
Hope this helps,
-Brent