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You cannot always link nodes. You can create only those links that define proper operations. For example, you can link a data source node to a model build node but you cannot create a link in the opposite direction.
To connect two nodes, follow these steps:
In the Components window, expand the Linking Nodes section.
Click Link. Move the cursor to the source node (the From node) and click. Drag the link (a line) to the target node (the To node), and click again. If you try to create a link that is not allowed, the line does not terminate.
To end the link process without completing a link, either press ESC or click in the Components window.