The statistical properties of the process describing the genealogical history of a random sample of genes at a selectively neutral locus which is linked to a locus at which natural selection operates are investigated. It is found that the equations describing this process are simple modifications of the equations describing the process assuming that the two loci are completely linked. Thus, the statistical properties of the genealogical process for a random sample at a neutral locus linked to a locus with selection follow from the results obtained for the selected locus. Sequence data from the alcohol dehydrogenase (Adh) region of Drosophila melanogaster are examined and compared to predictions based on the theory. It is found that the spatial distribution of nucleotide differences between Fast and Slow alleles of Adh is very similar to the spatial distribution predicted if balancing selection operates to maintain the allozyme variation at the Adh locus. The spatial distribution of nucleotide differences between different Slow alleles of Adh do not match the predictions of this simple model very well.