paste link excel 2007 and windows 7

So here is the thing, the other day I was doing a training course on Excel
2007 and the customer was using Windows 7, which I have to admit i like, but
when I got to the bit about paste link it all went horribly wrong. The nice
shortcut of pressing = then clicking on the cell in the other window does not
work. Copying the cell in the window and then moving back to the original
file and choosing paste link, opens up all sorts of options and none appear
to link back to the cell in the other document.

Any help of how to do this would be appreciate (apart from typing it in -
which does work by the way).