Your First Link
Firstly, you are not going to get any links until your site is indexed by the search engines such as Google so this is your first challenge. There are several ways you can approach this and some work better than others.
If you are a member of an internet forum then using a link to your site in your signature is a great way to get search engines to crawl your site and get indexed. Posting a link for other members to review will also have the same benefit.
Remember, this is just about getting your site indexed -- the value of these links in the long term is minimal and not an effective link building strategy.
Submitting your site to a few directories will help you get the ball rolling and is often the simplest way to start off. Most directories will need you to link back from your site in order to be listed and the benefits overall are not great. However, at this stage, beggars can't be choosers, so provided you don't get carried away, a few directory listings will be a slight benefit.