A link exchange is when you find other websites and ask them to put a link on their site, often in "exchange" for a link on your own.  Until you are able to establish your site and begin generating the ever so valuable Organic Linking, this is a must for any new site owner.

The approach that I've found works best for me, is adding the desired site to mine before e-mailing the webmaster.  I will then track my requests and pull the URL of any sites that do not return the favor in a reasonable amount of time.  Also, make sure you find sites with related content.  Not only will these carry more weight from a search engine perspective, but they are also more likely to generate interested traffic to your site.

Useful Tools:

• http://seopen.com/seopen-tools/link-development-tool.php