Is it possible to attach an event when a Component is linked to another in the CMS GUI? Which is the event?
As far as the events system is concerned, actions in the GUI aren't interesting until you actually save a component. So yes, you can do something with an event, but it's the component save you need to catch. You can do this by subscribing your handler to the event with:
TSubject: Tridion.ContentManager.ContentManagement.Component TEvent: Tridion.ContentManager.Extensibility.Events.SaveEventArgs