In need of help with chalk tutorial

Hi, been a member to this board for awhile but haven’t visited because I haven’t been designing as of late but now I am. Here’s my problem.

http://www.webdesign.org/web/photoshop/text-effects/realistic-chalk-fonttext.10339.html

I have Photoshop CS3 and I’m stuck at the second part of step 7. It says:

Step 7: Now go to Layer > Layer style > Create layer. This will turn separate the effects layer from the type layer. Link the two in the layers panel, then click the little arrow in the upper right corner of the layers panel and select “Merge linked”.

I don’t see that anywhere. Is there an equivalent somewhere? Please help, thanks.