My site on Alexa shows Sites Linking In: No Data. Why is that? My WebmasterTools shows dozens of back links.
Don't worry about Alexa just yet. Not for the first 6 months at least. It won't generate a proper rating. However if you want to register your site manually create an account at ALEXA and add your website.
Your site isn't ranked by alexa yet, so just work on building traffic and use SEO methods. Once the traffic comes, alexa will notice.
I missed out one thing - Site LINKS are displayed on a quarterly basis. So wait till your site is at least 3 months old.