> EXEC SQL SET DATABASE db1 = "c:\test1.fdb";
> EXEC SQL SET DATABASE db2 = "c:\test2.fdb";
>
> EXEC SQL CONNECT ALL;

Try using
EXEC SQL CONNECT db1;
EXEC SQL CONNECT db2;

instead of CONNECT ALL;

> EXEC SQL SET TRANSACTION;
>
> /* TEST is a table from db1 and db2 */
> /* ERROR HERE !! */
> EXEC SQL INSERT INTO db2.TEST SELECT * FROM db1.TEST;
>
> EXEC SQL COMMIT;
> EXEC SQL DISCONNECT ALL;

Regards
Paul