So for creating linked server we have to work around.
First create a System DSN for connecting SQL Server 2000 Database in the server where SQL Server 2012 is installed. Now create Linked Server like
EXEC master.dbo.sp_addlinkedserver @server = N'NorthWind2000', @srvproduct=N'MSSQL', @provider=N'SQLNCLI', @provstr=N'PROVIDER=SQLOLEDB;SERVER=NorthWind' EXEC master.dbo.sp_addlinkedsrvlogin @rmtsrvname=N'NorthWind2000',@useself=N'True',@locallogin=NULL,@rmtuser=NULL,@rmtpassword=NULL