■Excel Object 作成し、つなぐ

Option Explicit
Sub prep() 'テストシート作成

    With Sheets.Add

        .Rectangles.Add(100, 100, 100, 10).OnAction = "try"

        .Rectangles.Add(300, 100, 100, 10).OnAction = "try"

    End With

End Sub
Sub try()

    Static x As String

    Dim ws   As Worksheet
    If Len(x) = 0 Then

        If MsgBox("connect?", vbYesNo) = vbNo Then Exit Sub

        x = Application.Caller

    Else

        Set ws = ActiveSheet

        With ws.Shapes.AddConnector(msoConnectorElbow, 0, 0, 0, 0)

            .Line.EndArrowheadStyle = msoArrowheadTriangle

            With .ConnectorFormat

                .BeginConnect ws.Shapes(x), 4

                .EndConnect ws.Shapes(Application.Caller), 2

            End With

        End With

        x = ""

        Set ws = Nothing

    End If

End Sub

■参考：
http://oshiete1.goo.ne.jp/qa4251853.html