Linking layers, via the 'chain link' icon at the bottom of the layers palette, means that when you move or transform one layer the other layer will also move or transform with it.
With layer masks (including adjustment layers) by default they are linked, meaning the same - moving or transforming is applied to both the layer and the layer mask.
Once you unclick the 'chain link' icon between the layer icon and the mask thumbnail, you are able to click and hightlight one or the other. Then when you move whatever is in the layer you'll see the mask doesn't move, and vice versa.
This can be useful, for example, if you have a circular mask with a photo inside, and you'd like to tweak the position of the photo. You can unlink the mask, select the layer icon, and move the photo around while the circle stays where it is.
Fill layers and adjustment layers are given a bitmap mask by default. The mask is all white, meaning it currently isn't masking anything and effectively isn't doing anything. This means linking or unlinking the mask doesn't have any noticeable affect. With the mask unlinked and highlighted, try drawing a rectangle with the select tool, choosing black, then using the paint bucket tool to fill the rectangle black (the mask thumbnail should now have a black rectange in it).
Now try moving it around, and linking and unlinking the mask. Now you should be able to clearly understand how masks and linking work on adjustment layers, or any kind of layer.