If you want to give them the possibility to manipulate your DB directly do the following:

1) Create a SQL login
2) Make it a User in the DB(s) and grant permissions to the objects they need to access
3) Ask them to create a linked server on their box which links to your server using your login

This makes sense if they are supposed to connect real time.

If they are supposed to do batch updates only (e.g. via DTS) they can connect to your server directly from DTS without using a linked server