That button seams to have something to do with sections of a document, so that you can link the different headers and footers from one section of a document to another section of the document.
According to the Office Help doc this is how you add sections (or chapters) to a document.
<pre>If your document is not divided into sections, you can insert section breaks where you want the header or footer to vary.
1. Starting at the beginning of the document, place the cursor at the beginning of the page where you want to start varying the header or footer.
2. On the Page Layout tab, in the Page Setup group, click Breaks, and then under Section Breaks, click Next Page.
3. Place the cursor at the beginning of the next page where you want to vary the header or footer, such as the first page of a new chapter.
4. On the Page Layout tab, in the Page Setup group, click Breaks, and then under Section Breaks, click Next Page.
Repeat steps 3 and 4 for every section break that you want in the document.</pre>
To use the link to previous button I found this in the help file.
<pre>Use the same header or footer across section boundaries
In a document where the header or footer varies by section, you can make the header or footer the same across section boundaries.
1. Double-click the header or footer that you want to preserve across section boundaries.
2. On the Headers & Footers tab, in the Navigation group, click Next Section .
3. Click Link to Previous .
4. Office Word 2007 will ask if you want to delete the header and footer and connect to the header and footer in the previous section. Click Yes. </pre>
I found this in the help doc under “Insert headers and footers”. I found this by searching for “link to previous”.
I hope this helps.