Link Exchange Advice?

[Charlie]

I was sent an email today by a webmaster wanting to carry out a link exchange. I understand the importance of link building, and have undergone some link building in one-way directories and blog comments. But I don't fully understand if two-way or even three way links are advisable. Also if I'm expected to put a link on my site to another site, would I need to write a blog on the websites topic and include the link there?

This is what was said:
Three-way/In-direct Exchanges
Links from related sites within content
High PR and/or Content Backlinks

Can someone also help explain this please.