Accessing linked server through Stored Procedures

I'm trying to execute the following statement in a stored procedure:

-------------------------------------------

DECLARE @MyId int

DECLARE Monjacursor cursor for
    SELECT PersonId
    FROM ProntoRemote.pronto.dbo.person
    WHERE NOT PersonId IN (SELECT DISTINCT PersonId FROM attendance)for read only

OPEN Monjacursor

FETCH NEXT FROM Monjacursor INTO @MyId

WHILE @@FETCH_STATUS = 0
  BEGIN
    INSERT INTO Attendance(PersonId,UpdateDate,CreateDate)
    VALUES(@MyId,GetDate(),GetDate())
   
    FETCH NEXT FROM Monjacursor INTO @MyId
  END

CLOSE Monjacursor
DEALLOCATE Monjacursor

--------------------------------------

It works fine in Query Analyzer but I get the following errormessage when i try to save the stored procedure.

"Error 7405: Heterogeneous queries require the ANSI_NULLS and ANSI_WARNINGS options to be set for the connection. This ensures consistent query semantics. Enable these option and then reissue your query."

I tried to set the ANSI_NULL and ANSI_WARNINGS to ON in the stored procedure but this did not help.

Any suggestions???