Now that we have commented that link exchanges are not the way to go (at least not quickly) how can you add to your Search Engine Rank without them?

A truly powerful way to get the best of links is to create real content and make it available for distribution (and distribute it).  If I write an article for a site that is in the same area as my site then I typically can put a link to my site in the author block at the end of the content.  This is a one-way, content laden link.  It requires some work for you to identify the sites in your space that accept content, for you to create the content and finally arrange for that content to be accepted and displayed with your link.

Think about it and you may help yourself immensely!