In Enterprise Manager, it's under the Security folder. I did it through there to test, but according to BOL you can also:
Execute sp_addlinkedserver to create the linked server, specifying Microsoft.Jet.OLEDB.4.0 as provider_name, and the full path name of the Access .mdb database file as data_source. The .mdb database file must reside on the server. data_source is evaluated on the server, not the client, and the path must be valid on the server.
For example, to create a linked server named Nwind that operates against the Access database named Nwind.mdb in the C:\Mydata directory, execute:
Under Security? I knew the first time I found it I thought it was in a strange place, and I've always had a hard time remembering where things are until after I've used them several times. I usually remember where my golf clubs are though.
If you're like me, the clubs are always in the trunk, ready for any last minute opportunities! Though as I stare at the 6" of fresh snow on my deck right now, I must admit those opportunities are few and far between this time of year.