You might not have saved or updated the changes in the source program (the program in which you created the linked object) before you returned to Microsoft Publisher. After you select Exit and Return, be sure to click Yes in the dialog box that asks whether you want to update the object.
The Paste Link or Paste Link Special button is not available
You cannot create a link to this type of object from that particular program; you can only embed it.
The File menu of the source program doesn't have an Exit And Return command
The source program (the program in which you created the linked object) might use different wording for the command. If it's not obvious which command to use, consult the online or printed documentation for that program. If that doesn't help, save your publication, then try selecting a similar command.
The Link option is not available
The program you want to link from either doesn't allow you to link objects from it or it doesn't support linking for that type of object.