You will need to enable macros in Excel. To do this on a Windows machine you need to open a blank Excel spreadsheet and click File / Options / Trust Center / Trust Center Settings / Macro Settings and select the option for "Enable all macros" and click ok.

On a MAC machine within a blank Excel file you need to click Preferences / Privacy and Security and then "Enable all macros".

Once the changes have been made you will need to reopen the Excel VAT Filer spreadsheet and the link cells option should now function.