DTS: single SELECT from 2 databases possible?

Just wondering, in DTS, can I run a SELECT script that selects from 2 different databases (both on the same server)?

I can run this in Sql Query Analyzer, but in a DTS, it doesnt accept my database name prefixes:

SELECT
a.something
FROM
DB_ONE.dbo.product a, DB_ONE.dbo.mp_brand b, DB_TWO.dbo.lk_pcat_cutover c
WHERE
a.PCat <> c.Pcat

(where DB_ONE and DB_TWO are the 2 different db names)

I have one connection to DB_ONE... does this mean I cant access DB_TWO when using this connection? I want to try and avoid using a temporay table for storing DB_TWO's data in DB_ONE... Is this possible?

Thanks,

Andre

Dont know if this is the one and only answer, but by changing the datasource to the MASTER db, it then allows me to use my original SQL.