Here goes:

Step 1. Login to your Linkedin account & go to the My Profile tab.
Step 2. Scroll down to websites & click edit.

Here is where you separate yourself from the rest!

From this screen you can add up to 3 websites. The provided category drop-down will suffice for most users but always pick other. Once you do this you get an additional text box that allows you to enter up to 30 characters for the text link.

Step 3: Enter your desired link phrase, save your new profile & presto! You now have a text link with relevant key terms from an authoritative site.

Remember, this will gain better traction if your public Linkedin page is indexed with the engines. If you don’t see your profile page in the organic listings when you search, you may want to find a way to get your Linkedin page indexed first.

*****Update*****

LinkedIN changed these links to no-follow. You are now better off selecting “my Blog” or “my company” to remove the no-follow.