I am trying to insert a .jpg file in a spreadsheet and keep the image linked
to the underlying file. I am able to insert the image but cannot link to it.
I found KB article 903177 which refers:

Office 2003
1. Open the Office 2003 document.
2. On the Insert menu, point to Picture, and then click From File.
3. Select the picture that you want to insert.
4. Click the down arrow on the Insert button, and then click Link to File.

In Excel I do not have the "down arrow on the Insert button" but it is
available in Word. Both are 2003 SP2.