Primers need to be multi-selected in order to link them and form a Primer Pair. You can multi-select primers directly from the Sequence Map or from the Primer icon.
First, left-click to choose an initial primer, then hold shift + left-click to select an additional primer.
Once you select your two primers of interest, right-click the highlighted region between them to access "Link Primers".
Alternatively, while you have both primers selected, go into the Primer icon and open the Primer Pairs tab, and select "Link Primers" from this menu.