distributed transaction is not working

hello ,

I am executing following command but why i am getting this error.

begin distributed transaction
select * from [115.254.95.28].STEMI.dbo.Mast_patientInfo
commit transaction

OLE DB provider "SQLNCLI10" for linked server "115.254.95.28" returned message "No transaction is active.".
Msg 7391, Level 16, State 2, Line 1
The operation could not be performed because OLE DB provider "SQLNCLI10" for linked server "115.254.95.28" was unable to begin a distributed transaction.

It is working with

begin transaction
select * from [115.254.95.28].STEMI.dbo.Mast_patientInfo
commit transaction

Please help me..