To ‘link build’ on your website pages is to connect to many reputable websites from your pages. The reason why to do this is for ranking on search engine pages. Ideally, you want to be on the first page of any results when someone searches for you on the internet, and this is just one way of helping to get there.
If the website you are linking to is decent in the eyes of Google, Google will rank you higher.
This is a simple but perfect example of digital PR.
In the old days of magazines and newspapers, you wanted your story published in these pages. Link building is the same but on websites pages instead of paper pages.
The tricky bit is getting the website you want to link to, to link back, this is what you are aiming and it takes a time investment to get it right.