Hmm – I can’t remember if I set that one up to be able to link. I usually do, so I don’t see why I wouldn’t have for this.
The purple textures mean that it can’t find the location of the images. From memory the textures should be in a subfolder located in the same directory as the rig file. If you open it from the download it works, Just check you are NOT using cycles. This is the Blender internal rendered, so it won’t work in cycles (or in 2.8 either 🙁 )
Update: I just checked the linking and yes it should work.
