I suspect that whatever you are using to "edit" the jpg, isn't editing it in-place, but rather when you save the changes you made, it deletes the original file and then write a new one with the original name and the new contents. This (by design) breaks the link.

For reference and an authoritative description, see this forum post by the guy that implemented link on win32.

To prove it is the editor rather than perl that is at fault, try this sequence of steps:

c:\test\junk>dir
18/02/2012  22:09               633 a.jpg

c:\test\junk>perl -E"say link 'a.jpg', 'b.jpg';"
1

c:\test\junk>dir
18/02/2012  22:09               633 a.jpg
18/02/2012  22:09               633 b.jpg

c:\test\junk>md5sum a.jpg
56c800418e498e40ae9bc4c1e4023341 *a.jpg

c:\test\junk>md5sum b.jpg
56c800418e498e40ae9bc4c1e4023341 *b.jpg

c:\test\junk>perl -E"open I,'+<:raw','a.jpg';seek I,400,0;syswrite I,0
+xffffffff,4;close I"

c:\test\junk>md5sum a.jpg
8bc46c67f8e5d8c0caf4c7c59db66779 *a.jpg

c:\test\junk>md5sum b.jpg
8bc46c67f8e5d8c0caf4c7c59db66779 *b.jpg
[download]

Of course, the jpgs aren't valid any more after the edit above, but it should convince you that editing one also edits the other.