We tried with ACE OLE DB and it was the same thing, on our machines it worked, on theirs not, tbh it worked if we were logged
locally in SSMS on the server, but the soon as we tried to call a stored procedure from another PC on the network, the procedure returned
permission denied.
This sounds like a double-hop problem. Then again, E:\LegacyDB certainly sounds like a local disk, so I cannot really see how would happen here.
Also, double-hop problem appears when you use Windows authentication. SQL Server then tries to impersonate the actual Windows user, but this does not work if the login was by NTLM and not Kerberos, or Kerberos is not set up properly.