You don't link fonts, you install them on your computer. If the file was packaged it would have come with a fonts folder which had fonts inside it you install onto your machine. If you don't have those fonts and want to change them you use Find Font (Type > Find Font) to do it.
If you are Using CS5 or later and the file was "packaged" it should have a "document fonts" folder in the package. If that folder is in the same folder where you saved the .indd file, ID will do a temporary install of the fonts in the folder and use them for editing the current doc only, no need to install on the system.
HOWEVER, there are known issues with this, such as loss of small caps, and if you are working cross-platform Mac-flavored T1 and TT fonts won't work on Windows, but they won't work if you try to install them either.