A bit of advice on this from a graduate of the school of hard knocks.
Access is a little belligerent about connecting to tables that have more indexes than it knows what to do with (I think is around 32). Unfortunately the most important FogBugz table "Bug" exceeds this limit and may give you this error when you try to link it:
The workaround is to create a view that contains all of the columns/rows in the Bug table, like so (in SQL Server)
CREATE VIEW [vwBug] AS
SELECT * FROM Bug
Then link to vwBug instead of the Bug table using the approach described by Dan Wilson. The only difference is that it will prompt you regarding which field is the Unique Identifier, to which you will select ixBug.
I've also posted an Access code module here, that you can use to link all of the fogbugz tables into Access with a single command from the command window:
? LinkTable("FogBugzSQLServerInstanceName","FogBugzDBName",True)
It has the built in workaround for the view assuming you created vwBug as described above.