I have to say, in my opinion, that is the most difficult way of creating cross project links.

The method I prefer:
The directions below are for Project 2010:

1. Open both files.
2. On the View tab click New Window to open the New Window window. Both of the file will be listed in the window.
3. Click and drag to select both files.
4. Select aview from the view drop down if you don't like the default Gantt with Timeline.
5. Click OK to create a new project combining both of the selected projects.

To link tasks across projects.

1. Create the consolidated project (above).
2. Click the predecessor task in the first project.
3. CTRL+ click to select the successor tasks in the other project.
4. Click the link tasks button (Task ribbon.)
5. If necessary, change the link type, add lead or lag as needed.
6. Close the consolidated project. No need to save.
7. Save the changes to other other project files.