When you say "Microsoft Project", I assume you are using the Microsoft Project desktop application and not the web-based Project for the Web. Assuming that you ARE using the Microsoft Project desktop application, here is how to create cross-project dependencies:
1. Open each of the projects in which you want to create a cross-project dependency.
2. Click the View tab to display the View ribbon.
3. In the Window section of the View ribbon, click the New Window button.
4. In the New Window dialog, select each of the projects in which you want to create a cross-project dependency, select the Gantt Chart view, and then click the OK button.
Microsoft Project will create a TEMPORARY master project in which you can set the task dependencies between projects.
5. Select a task in one project, press and hold the Control, select a task in another project, then release the Control key.
6. Set the task dependency between the two tasks.
7. Continue setting task dependencies using the two previous steps.
8. When finished, close the temporary master project and DO NOT save the changes.
9. Save and close each of the open projects.
The reason you do not save the temporary master project is because the actual cross-project links are stored in each of the individual projects and not in the temporary master project. Hope this helps.