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Ok, there have been many replies, but none that talk about the link itself. If you know what a link means to the search engines, then you will begin to understand link building.
A link is basically a "vote" that says, "hey, leave this page and go here because it's relevant." A link contains anchor text. That anchor text is what search engines use to categorize the link.
So, let's say that 1000 different pages link to you for the term "cotton candy." Search engines will look at the sources that point to you. If the sources are highly ranked and seem to be relevant to your keyword, you will benefit. The opposite is also true.
So, now you can see what it means to "build links." There are many ways to build these links. And, you should do them all. Write and comment on articles and blogs. Talk on forums like these ( be sure to add some value please ). And, never, ever, buy 1000s of links for $10. Seriously! If it was that easy, we'd never find what we were looking for on Google.
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