It is called 'Link Exchange'.

A linking program where a site exchanges links with a high ranking site (typically with something in common, such as both being retail sites) as a way to improve visibility in the search engines and increase page rank.

However, I would advice you not to rely heavily on link exchange because some are not authentic. The more reliable way is to find free directories and link to them directly by submitting your site's web address to the directories. You can also list your site on social networking sites such as facebook, myspace, stumbleupon, twitter, etc.

For more information please refer to:

  www.legalinternetmarketing.com/seo-glossary.html