This is the very first step to start for link building. You need to submit your web site to search engines and directories.
You may also look for those industry specified directory to submit.
Search and locate those relevant websites. Send an email to the webmaster and ask for link exchange.
Put your web site information into the press release. Send your press release to different web sites.
Put your web site information into the Author Biography in the articles. Submit your articles into articles directory.
Prepare your RSS or blog and encourage other to subscribe to your RSS/Blog.