It means that you need to to go to this link
http://www.cic.gc.ca/english/my_application/link.asp create a CGkey account if you don't have one already, filling the information that it asks you for. This is necessary since they will contact you via online and you also need to upload documents in there if they request any.
Once you're logged in, there's an option to link applications. Once again, fill in the information they ask you for.
1. Logg in with GC Key account.
2. Permanent Residence > Family Class (Spouses)
2. Application Number and Family Name - Copy/pasted application number from email (including the F) and entered PA's last name.
If you don't have App Number, use Family Name, Birthday, Place of Birth.
You can also try using your UCI and Application number, this one worked for me on first try.
3. City of Birth - (People say that you can enter 1 space (hit spacebar once) instead of typing your city if you have issues linking, however, this didn't happen to me, I provided my city of birth)
4. Country of Birth - Selected PA's country of birth
5. Passport Info
6. Other Application Info - Fill out the other application type information and put '2' as the number of members in the application.
Always use the Principal Applicant's info.
If this doesn't work, search the thread for other people's solutions. And keep trying different thing, though I believe there is a limit to how many time you can try to link in 24 hours.