Building links is one of many methods to get traffic to your site. The problem with using this method is that it can be pretty time consuming to set up and maintain until your site gets sufficient traffic so that you do not have to perform that task any more. A link is something that you click on in an article or blog that takes your to another web site. It is that simple.
You would want to do this on web sites that have far more traffic than yours in an effort to have some of that traffic come to your site. As part of those efforts, there are several different ways. One way that you should avoid is putting comments on articles on sites with a link to your site. If you are going to do this method, it is important that the comments that you are adding are relevant to the article and there is a similarity in your site to their site. Otherwise, you should not do it and it is consider spam.
A great way to have links to your site is to publish articles in article directories that then reference your web site. These are almost like communities of like minded people and search engines do a pretty good job of having those articles show up in the search results.
You can submit your site to web directories, but this is a labor intensive process of signing up for the site, get your sign on information and the adding the link to your site. There are companies that will do this activity for you for a fee.
Social Media, such as Facebook and LinkedIn are other good places to publish links to your site. If you have a decent number of people linked to you home page, you can get some traffic from this.
Twitter is another avenue that you can explore, but the value is based on how many people are following you. Otherwise, you have to be lucky and see if people pick you up at the moment that you add the item. This is one that is starting to pick up as a possible solution that we trying for another web site. It will be interesting to see the results.
There are many other methods for link building and you can find many other articles talking about this subject.