Links dont work when going from XP/Excel03 to Vista/Excel07

Hi-I reviewed the most recent posts but don't find anything that quite compares to my issue.

My laptop is XP and Excel 2003. I have created three workbooks and two of the workbooks are linked to the third. When I email the three linked workbooks to a co-worker who has Vista and Excel 2007, the links work when she opens the files out of Outlook, but when she saves them to her Excel folder, they stop working. The links still show in the formula window. She is probably not saving the files with "xlsm"; should she? What other reason could cause this problem? Any idea for a fix?