To access a cell in another file use this formula:
='[Book1.xls]Sheet1'!A1
if Book1 (the sheet you are linking) is closed, excel will automatically add a directory, (it may bring up a window so you can select the file):
='C:\Directory\[Book1.xls]Sheet1'!A1
You can link even if the linked file is closed. When you open a spreadsheet with links it will ask if you wish to update.
A nifty way of doing it is to have both spread sheets open. Then begin typing your link formula with = Then click Window at the top, and select the other spreadsheet. Locate the cell you want and click it, then press enter to confirm.