You did not try in the way. You have Application Number and UCI now. So it is very easy. People even link without these things as well, like me.
http://www.cic.gc.ca/english/e-services/account.asp
Choose "continue to GC key" in this link.
Choose "Sigh Up"
Choose "Accept"
Create your username (Ex. rohanindian, or......) then press Continue
Create Password (Ex. Suresh3384, etc.) then press Continue
Create your Recovery questions
If you go ahead 2-3 steps like this then work will be done.
Note : When you try for GC key linking online. Open up your Generic Application Form (which you applied for Provincial Nomination). Filling in verbatim information about your application. Will be linked.