Hi, Jara.
To create your links, just use the relationship matrix (Project -> Relationship Matrix).
Once the matrix screen is displayed, specify the root level in your project tree as "Source", and same for Target.
Specify "Use case" for your first Type, and "Class" as your second type. "Dependency" should be the Link type, and probably "Source to target" is the approriate direction.
Once all your use cases and all your classes are displayed in your matrix, right-click on the intersection of the use case and class of your choce, and click on the option to create your association.
Don't forget to click on Profiles, and save your matrix with an appropriate name.
Let me give you a tip, however: I don't use the Use Case vs. Class matrix, because I detail each use case in a Sequence Diagram (and sometimes in a State Chart also). Also, I use the Sequence relationship as the Link Type. This way I don't need to create new relationships: my relationships are automatically displayed according to what I have already done in my sequence diagrams. What I creat this way is a pseudo-CRUD (Create, Read, Update, Delete) matrix, and it is an invaluable tool for completeness analysis of your model.
Hope it helps.
Jaime Gonzalez