Well, seems like no one dare to answer such a vague question.
More specifically what do you want to know about links?

Basically the net is (or used to be?) based on HTML (that's hypertext markup language). hypertext means a certain text could allow you to click on it so you reach another resource by doing so . A resource could be another HTML page , on the same web-site or another site, a mail resource, a document, etc). A linkis such a hypertext.

Now, when you see people talking about links here we usually talk about redirecting from one page to another web-page. they help promoting a website 'cause that's the way the Internet works. Let me know if you'd like to know more....

all best,
-radu