Actually, you don't HAVE to link on every group, if the logic of the report doesn't dictate it. When you link, you should be thinking about what you want to appear each time the subreport is executed. Each link you add is like a record selection criterion that will narrow what appears in the subreport. If you have a groups on country, year, and store, and you wanted to show sales for the store in a particular country per year, you would link on all three groups, but if you wanted the subreport to show store sales for all years and all countries for a particular store (that may have multiple locations), then you would link only on store.
If you want more help, we will need to know what your groups are and what you are trying to show in the subreport, so that we can help you do the linking based on your particular logic.
-LB