Can I set up SQL Trace or Audit to connect to servers

I have a server (2003) with SQL (2005) on it. 
If i install MS SQL Management Studio 2012 on my PC, can I audit what SQL on that server is doing by connecting to it from the PC ?
Or would it be better to set up SQL Trace on the server itself ?
Thanks
Pete

So if I install SSMS 2012 on my PC, I can connect to the databases on different servers from 1 place. 
Yes, as long as there is network connection.  In SSMS open up the Registered Servers window and register all servers:
http://technet.microsoft.com/en-us/library/ms188231.aspx
Related thread:
http://social.msdn.microsoft.com/forums/sqlserver/en-US/8209ad2c-6efd-49d6-9605-b7f348eb56bb/how-to-connect-sql-database-on-different-network
Setting up server-side tracing:
http://www.sqlusa.com/bestpractices/createtrace/
Kalman Toth Database & OLAP Architect
SQL Server 2014 Design & Programming
New Book / Kindle: Exam 70-461 Bootcamp: Querying Microsoft SQL Server 2012

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