If the target server is on your network you could simply use an insert with a NOT in command.
If it is not on your network, you could use DTS to create a text file, ftp or email them the file, have them import the file into a staging table, then do their NOT in command with the insert, something like this
insert into targettable select * from stagingtable where [primary key] not in (select [primary key] from targettable)
HTH