When using Multi-Scorm packager, what do I link the two modules with? Should I use Open another Project, or use Open a URL or file?

Actually...the Open Another Project action is pretty much useless.  It does NOT actually open the other CPTX project file (as it leads you to believe).  All that happens is that when you point at the CPTX project file, it expects to find the HTM file of the published output from that project.  But, when you DO select this option, the message box that appears indicates you need to copy the output files to the same location as the calling file.  It all gets very confusing and needlessly messy.  I NEVER use this action.

If you are trying to call one Captivate course module from another, your better option is to use Open URL and point it at the HTM file of the published output.

However, after saying all this, since you mention using the Multi-SCORM packager I have to tell you that your whole approach is wrong anyway.  The SCORM standard specifically prohibits one SCO from calling another.  SCO modules are supposed to be totally self-contained.  The LMS takes care of navigation between SCOs, usually via hyperlinks in the SCORM Player TOC.  Trying to manually link SCO modules without the LMS being involved is bad practice and could get you into all sorts of issues with malfunctioning scoring.