You can use OPENQUERY, like:

SELECT * INTO #Tmp FROM OPENQUERY(Loopback, 'EXEC MySp');

Make sure to read Erland Sommarskog's article on some issues with this
approach:
http://www.sommarskog.se/share_data.html#OPENQUERY

Also, if you create the table structure first then you can use INSERT EXEC:

INSERT #Tmp EXEC MySp;

HTH,

Plamen Ratchev
http://www.SQLStudio.com