When establishing links and exchanging links this helps your rankings with the search engines and builds on connecting with other business owners. When exchanging links with other webmasters you will need to give them your code and you will need to use their code on your site.
A few years ago if you placed a link on each page of other sites this would help your rankings, this does not work anymore. However, nowadays a site wide link on another website will not help you at all. Many people would agree that having a lot of links to your website is the key to rank well in all search engines. As a website grows and is around for a long period of time links will be established that point to the website and this will happen slowly.
If you want to improve your page rank of your site, make sure that the links you exchange are relevant to your site. Make sure your site has incredible unique content and it is related to your site. If you exchange links with a bad site this will hurt your sites rankings on the search engines. Bad links lead to reduced link popularity and in turn can eventually lead to being banned on search engines. Search Engine Robots give a lot of weight to relevancy. Link farms are a definite no. Most of the sites will not be relevant to yours.

