I would suggest that you run this on the server where the table is located instead.
Then again, why does the table have the IDENTITY property, if you want to insert explicit values? If you absolutely want autonumber, maybe you should use a sequence object instead.
If you absolutely want to work with IDENTITY and insert from the source server, it is doable, but it is complicated. You need to create an XML document of the data with FOR XML. Then you call sp_executesql on the remote server, and send over the XML document and shred it on the remote side into relational format and insert into the table.