You didn't tell us what conditional formatting condition you have specified.
Are you using "Cell Value Is", or "Formula Is"? In either case you
shouldn't have a problem, providing that your conditions are using
constants, or cell references on that worksheet. From your description I
would expect that you are using "Cell Value Is" "Greater than" and then your
fixed value, and in that case it shouldn't be a problem.
Also, you didn't say what you mean by "it does not work". What cell values
do you have in the cells which are affecting the conditional formatting?
What result did you expect those to give? What result did you get?
The only problem regarding linking is if you try to use links to another
cell, not in the cell formula as you have told us but in the conditional
formatting conditions. Did you try to do that? If so, what error message
do you get? Doesn't it say something like:
"You may not use references to other worksheets or workbooks for conditional
formatting criteria."?
That means what it says. If you want to use data from another sheet in CF,
the best bet is use a helper cell on the sheet where you want the CF
condition, use that cell to bring the data across from the other sheet, then
use that helper cell in your CF condition.