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One way you can try it is by using little add-on that Alta Vista provides. That kindly adds an option (in Internet Explorer 5) to Tools along menu, called "Find pages linking to this URL" - thus go to your's or your competitor's page and hit button. Download tool here: http://doc.altavista.com/help/search/linksearch.shtml
There is also specific syntax you can enter into each search engine's box, which will make it look for a URL, rather than for keywords. They all seem to have different requirements.
Many of those are listed in an excellent article, Web & Search Engine Facts You Need to Know to Win Marketing Game, By David Gikandi. The article has a lot of information on each of major search engines and how they work, including "How to check how many pages link to your site". David is a programmer at SearchPositioning.com. (www.searchpositioning.com). A copy of article can be found at: http://www.tucats-design.com/news/issue9.html
Also, there are several of these specific syntax requirements listed in Boogie Jack's Webmaster Tips program, FREE download and well worth it, from: http://www.boogiejack.com ipaday.html
Once you have found your targets, visit sites, find webmaster's email address and write offering a link swap. Personalise email, stress benefits to other party - it will benefit their traffic and search engine rankings too - and you should have a reasonable success rate.
One quick boost, following along principles above, is to participate in a simple system called Search Engine Beater http://www.ismy.net/searchbeater.html
Pamela Heywood is webmistress of http://www.tucats-design.com - Building Your Online Business Instinctively. Subscribe to the weekly TuCats Mewsletter (sic) mailto:email@example.com and get regular FREE hints, tips, articles and resources.