Recently WordPress made a decision to discontinue the links/blogroll feature on all future installations past WP3.5. To most people this will make no difference, however, for those few that use blogrolls and links it could have huge impact. Not to fear, though, it seems they are only making it “invisible” and are not removing the actual functionality. This means that with the addition of a very small bit of code you can get your beloved links back.
Simply insert the following code into your theme’s functions.php file and you are good to go.
add_filter( 'pre_option_link_manager_enabled', '__return_true' );
For more information on how to reactive links within WordPress check out this blog: http://www.shoutgeek.com/enable-blogroll-links-wordpress/