I’m using Cubase 14 Pro and have been trying to get the sidechains to work however, there are no videos that seem to show it.
The Steinberg official training seems to use an older version because when I go into the compressor (for example) there is no cog wheel there is only an ‘active sidechain’ option and then, I’m unable to choose the track that I want to link it to.
Am I being stupid?
I think you are already doing the right thing.
Please observe that Cubase does not allow you to create feedback loops, ie. the signal of a channel can never come back to it. Possibly the source channel that you would like to select already is part of that signal chain somehow.
To add to what @Johnny_Moneto said: Maybe add a screenshot and provide more details. Sidechaining hasn’t fundamentally changed for quite a while now.
Did you watch Dom’s tutorial on sidechain?
I did watch Dom’s video and that’s where I’m lost.
He speaks about a ‘cog’ on the plugin but, there’s no cog in 14.
Can you point me to the part where Dom mentions a cogwheel? I think it might as well be a slip.
This is what you are looking for in the header bar of each plugin:
The cog wheel symbol got replaced by arrow down symbol, which is the indicator for a pop-up menu in Cubase nowadays.
It’s the same icon in Dom’s tutorial hence I assumed it was a slip. I think I remember that there once was a cogwheel before the overhaul of sidechain in Cubase.
Dom makes so many videos… 
We might be talking about this one here:
That’s massive help, thank you.
That’s exactly the one I watched.
Yes, you are right! There once was a cogwheel which was replaced by the arrow. That explains it 