|If you want to preserve the link between the two spreadsheets, you must open the second one from within the Excel that is already running.|
When you open two s/sheets from two shortcuts, you are actually opening each of them in two different instances of Excel. One knows nothing about the other so you can't expect them to be linked under those circumstances.
Apart from that, you are wasting RAM having two instances of Excel running. With any Office application you should always open second and subsequent documents from within the application that's already running, not from a shortcut.