How do I create a Linked Server in SQL Server Management Studio?

Right-click 'Linked Servers' under 'Server Objects', select 'New Linked Server', then fill in the wizard fields: enter a name for the linked server, choose 'Microsoft OLE DB Provider for SQL Server', set 'Product name' to 'SQL', specify the 'Data source' (server name or IP), optionally enter a 'Catalog' (database name), configure security, and enable required options under 'Server Options'.