Since your command doesn't do any filtering, none of them!
If your command was:
SELECT FileName, FilePart, FileID FROM SomeFileTable WHERE FileID < 20 ORDER BY FilePartOrder
Then ServerB will do the filtering, since it receives the whole command. That is one of the reasons why you shouldn't say
SELECT * FROM myTable
instead of specifying the fields you want as in your example. It wastes bandwidth on the transfer as well as memory on the server - this can be significant when your table contains images for example.
This assumes you are using SQL Server, or MySQL: if you are using Access for some strange reason, then all the data has to be pulled to ServerA as the command is executed there so any filtering will be done there.