He there,
Firstly, I recommend you consider using option buttons (aka radio buttons) for this purpose instead. Typically useage of these is for mutually exclusive options, as per your implied purpose. Check Boxes, IMHO should be used for combinable options (i.e. select none or more).
Whichever way you decide to go, the Option Group (aka Frame) should meet your needs. The trick is to create the option group (frame) first. Then create the check boxes or radio buttons inside it. The whole frame will highlight as you create the check box/radio button inside of the frame, if you have done it correctly.
If you have already created all the check boxes, and dont want to delete and re-create, you can "fix" it by "Cutting" the check boxes, then select the frame and, with the frame selected, paste the check boxes. This will associate them with each other. Make sure each check box has a unique "option value" property. If two (or more) have the same value for that property, checking one will check all with the same option value.
The easiest way to then work out which one is checked is to interrogate the value of the frame.
HTH
John.