How can I link contacts & activities in a report or export?
When I tried in the demo site, I did an Advanced Search->Display Results as Activities and filter by the field you want and search.

If you export the result and check either Export primary fields or Select fields for export, in the csv created will be the contact and activity information. You will see Activities in the lasts columns.

If you tried that and doesn't work it's posible that in your version you can't do that, but I doubt it.