Can't seem to create a link (Newbie Question)

I’m just testing out the demo version of DevonThink and I’ve run into  a problem with linking.
I’ve been following along in the manual and it says (under creating cross-references) that you can create a link you can type the name of a group or dock, select it and select on Make Link. However, when I try this, the menu option is greyed-out (as is the link symbol on the toolbar).  It also doesn’t make email or web links active (when I type them in manually).

What am I doing wrong?
(I’m using OSX 10.2.8)

From the Version History file in the distribution:

Note: Wiki- and Cross-links require Mac OS X 10.3.x