Link building, or the process of acquiring links from external domains pointing towards your website, is one of the key ways to improve the SEO of a website. However, there isn't really one specific way to build links. How you build links to your site depends on the relationships your website has with the rest of the web. There are tons of different link building strategies you can try out if you're just getting started.
Basic principles of quality content will play a part in your success attracting links. If pages on your website are valuable and relevant to other web users, you will be more likely to attract links to your site. Being proactive about promoting your brand and reaching out to other website owners in your niche can help you grow relationships that can eventually lead to links.
SEMrush also offers a toolkit of solutions for building links that includes Backlink Analytics reports, Backlink Audit Tool, and a Link Building Tool. You can use these tools to research a competitor's backlink profile, audit your domain's existing backlinks, and build new backlinks to your website.