In addition to Dylan Morley which is correct in my opinion, it is better to extract stored procedure content and use it in your insert statement.
In case you preferred OPENROWSET, to run it without error, firstly you should run these two statement :
sp_configure 'show advanced options', 1
reconfigure
go
sp_configure 'Ad Hoc Distributed Queries', 1
reconfigure
go
SELECT * FROM OPENROWSET('SQLNCLI',
'Server=(local)\SQL2008;Trusted_Connection=yes;',
'EXEC dbname.dbo.spname parameter')
Good Luck