Windows 2000 has much tighter security on the system registry to make it more difficult for malicious code to make changes to a logged on user. The downside of this is that users cannot normally install older programs or run applications that edit the registry directly.
I suspect this is your problem.
To correct this you need to have a user account with administrative rights to log on with, or you will need to enlist the aid of one of your systems administrators. Once you have an accountor someone to type in their user name and password, you should run Excel using the "RUNAS" command (Right-click the application or the shortcut and Choose RUNAS from the munu).
This will allow you or the person who is helping you to punch in the elevated credentials to run the program. Once the program has been run as an administrator you should be able to create the reference normally and it will work from that point on for all the users.
This of course assumes you don't have administrator rights, so ignore this if you do.