1. Create a page where people can get the information about linking to you. In other words, make a "Link to Us" page. Make it easy by providing with them the HTML that they can easily pasted into their web page editor.
2. Make sure your link partner's link page is on their own domain. There are free links managers (ex. Bravenet) that create links pages for users, but they are not on the users' domains. By exchanging with these people, you are actually exchanging links with Bravenet (for example), rather than your link partner. This is not the link you are looking for!
3. When you find suitable link partners, put their link up on your site before contacting them. Write a personal email requesting an exchange. Let them know why you think your exchange is a good one and provide them with the HTML code to put up your link. Don't send a mass email to everyone...it's too impersonal and your message is likely to be ignored.
Links take time to build. THERE IS NO SHORT CUT! I don;t know how many times I have had to tell people this, yet everyone seems to think there is some 'secret method' to get links.