It sounds like your LinkedSettingsFile value is incorrect. To make sure that its value is treated as being relative to the settings file (and not the working directory of the executing process) it must start with a period. For example:
<StyleCopSettings Version="105">
<GlobalSettings>
<StringProperty Name="MergeSettingsFiles">Linked</StringProperty>
<StringProperty Name="LinkedSettingsFile">.\SomeFolder\Settings.StyleCop</StringProperty>
</GlobalSettings>
</StyleCopSettings>
There is some more information in this CodePlex issue.