This statement actually works but its pulling whole ETAX_ZIPX table down and then joining causing 40 second delay.
select * from
OPENQUERY(TSTESA5,'SELECT MSTR_FIDN, MSTR_NAM1, MSTR_NAM2, MSTR_STRT, MSTR_ZIPC, MSTR_ATYP, MSTR_ADAT, MSTR_AEND FROM stl01.ETAX_MASTER where MSTR_FIDN =''26200206800''')as a inner join
OPENQUERY(TSTESA5,'SELECT ZIPX_CODE, ZIPX_CITY_ST FROM STL01.ETAX_ZIPX')AS p ON a.MSTR_ZIPC=p.ZIPX_CODE


Somehow this needs to be called as one big OPENQUERY statement...

Thanks