Some items are linked automatically when obtained. Others are linked when used for the first time, and give a warning message before linking is complete (see image). Items that have been linked have a small chain icon in their description box.
The description of linking originally was to make the item second-hand, so it cannot be traded.
With the Power Of The Nexus Force Update, minifigures are required to have reached a certain level in LEGO Universe in order to link most items. The level required varies with each item, based on the value of the item.