When you link something, a connection is made between the items that are connected.  So, when you call on one item, you can also see the other item(s) that is connected.

Internet linking is the same process.  For example, you can link to a web page from you to them, you can do a two way link (called reciprocal linking) where both web sites are linked, or you can accept a link from another website and not list it in your website.