What you mean is you have e.g. in cell b1 on workbook 1 a reference to
cell b1 on workbook2 like in

='<path\[Book2.xls]Sheet1'!$B$1

If you copy (autofill) that into cells b2, b3 etc on your workbook 1
you have what you want. Since a 'link' actually is a formula it is
obvious that you can't link an entire column other than by copying the
formula into all relevant cells of that column. It's just a mouse
click. :-)

Hans