You do not need to change any settings on the 6200 to use it on 5GHz. It supports both 2.4 and 5GHz by default. Try setting the router's 5GHz radio to no encryption to see if you can connect. The key is to figure out if the router or the adapter is at fault. If you can find another 5GHz router (local cafe, friend, etc.) see if the laptop connects there. If you can't find another location, see if you can find another laptop with a 5GHz adapter to connect to your router. If the adapter doesn't connect then you'll need to contact Dell for a replacement. You might also check if there are any software updates for the Linksys router. There is a software update for the 6200. Go to http://www.intel.com/support/wireless/detect.htm to check if your system is updated.
Intel Customer Support