Here is how it works:
To get a linked game, you need to beat one of them first. Let's sa you've played Seasons. You will eventually beat Onox and save the day in Holodrum, credits scroll, and at the end you'll be given a password. This password is the key to a linked game. Alternitavly, you can just use a GB-link cable to transfer the data from the first game to the second without entering any passwords, but this requiers two GBC, witch not too many have. But entering a password isn't that hard at all.
With the password, start up a file in Ages. Don't make a normal though, you'll get the opportunity to create a linked game. Do so, and enter the password you recieved from Seasons. Ta-daa! Now you have started a linked Ages-game. Link will start with a lvl-1 sword and four heart containers, and several things will be different in the game. I won't spoil anything, but the significant change is the addition of secrets. Several characters in Ages will now give you passwords they want you to give to people in Seasons. By taking the password there, you'll be able to get new items in Seasons. These will also give you another password, witch allows you to get the same item in Ages by giving the new password to Faroe. I'm not completely sure, but i do believe that you'll need to use passwords for this, even with a GB-link. I don't have two GBC, so i haven't tested this myself. Oh well. I will not say any of these characters, so good luck finding them.
This will also result in that there are four different ways to play OoX: OoA, OoS, OoA+LOoS and OoS+LOoA. I recommend to play the two latter ones, witch will also increase the length and replay value ridiciously much. Pure Zelda greatness times two. Heck yeah.
Hope this will help you out a bit.