When using clipper to compile and plink86 to link, you need to also specify the clipper libraries. For example, if the only .prg file you are working on is zmenu.prg, then you would first:
clipper zmenu.prg
And then to link it:
plink86 fi zmenu lib clipper, extend
That's off the top of my head, but it should be close. If you can get your hands on a clipper manual I know it has more details on how to do this in the apendix of the manual.
I preferred linkfiles myself, but I dont remember the format. Then you just had to do:
plink86 @linkfile
So if you were doing compiling and testing a lot, it was easy to do without having to type the longer command each time.
I hope this helps. Wow, dusting off my clipper cobwebs :)