By linking, do you mean that you want the value from a cell in a closed workbook? If so, use the full file path name. In this case, put this formula into a cell in your current workbook:
='C:\Documents and Settings\johnny\My Documents\~~Working Folder\Excel Tests\[Test.xls]Sheet1'!$A$1
This will reference the value in cell A1 in the closed book.
If you mean by linking, hyperlinking to the file, then use Insert > Hyperlink and find the file that you need.
If I have totally misunderstood, post back, and we'll try another.
