First - in the list view, select the items you want to add the link to by clicking the check box to the left of the corresponding item name. The items will be highlighted in yellow, and a small blue 'Selected Items' box will pop up at the top of the list. This works for contacts, organizations, opportunities and projects. Illustrated below in red:
The last step is to click on the 'Add Link' hyperlink in the blue section, then to search for the item you wish to link to, and finally click on the 'Add This Link' button to add a new link between the item you searched for and all the selected items. You can define a role and details for the link too if you wish - just as you would do if you were linking each one separately.