Thanks a lot. In the meantime, I was able to actually make a program myself, although much simpler than yours. I will take a look at your code so I can understand some of the subtleties. Anyhow, for the benefit of anyone stumbling across the thread in the future, here is my bare-bones version of the program:

Sub Connect(r1 As Range, r2 As Range)
    ActiveSheet.Shapes.AddConnector(msoConnectorStraight, r1.Left + r1.Width / 2, r1.Top + r1.Height / 2, _
    r2.Left + r2.Width / 2, r2.Top + r2.Height / 2).Select
    Selection.ShapeRange.Line.EndArrowheadStyle = msoArrowheadOpen
End Sub

Sub Macro4()
'
' Macro4 Macro
'

'

With Selection

    Connect Range(.Cells(1).Address(0, 0)), Range(.Cells(.Cells.Count).Address(0, 0))
End With
End Sub
I was actually inspired by your idea of using a range selection to identify the cells of interest.