Some assumptions:
Sheet that will contain the link = "NewSheet"
Cell that will contain the link = "D2"
Workbook that contains source info = "LinkedBook.xls"
Sheet in above workbook that you are linking to = "LinkedSheet"
Cell that will contain the source info = "A1"

VB Code:
  1. Sheets("NewSheet").Range("$D$2").Formula = "='[LinkedBook.xls]LinkedSheet'!$A$1"