When the Particle Geometry object is selected, its settings will be displayed in the Attribute Manager. Drag the name of any particle group from the Thinking Particles Settings and drop it into the Particle Group box. If Sub Groups is enabled, the sub-groups of the chosen object will also be assigned to the particle group.
The actual link to geometry is made using the PShape Node.
More information regarding linking objects and particles can be found in the PShape Node section.