I think it has to be done using R1C1 style references for the cells.
As an example (from the vba help documentation):
Worksheets("Sheet1").Range("E1:E3").FormulaArray = _
"=Sum(R1C1:R3C3)"
You might be able to get around it doing something like
Range("C62")="=INDEX('[Current .XLS]qry_BFFinal'!$A$2:$G$786,(MATCH(B2&B62&(B9+1),'[Current.XLS]qry_BFFinal'!$A$2:$A$786&'[Current.XLS]qry_BFFinal'!$C$2:$C$786&'[Current.XLS]qry_BFFinal'!$F$2:$F$786,0)),7)"
Range("C62").formulaarray = Range("C62").formular1c1
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