A link wheel consists of articles on several sites, with each article linking to the same site (the "money" site - the site that's working to get ranked higher in searches.
What makes it a "Link wheel" is that not only does each article link to the "money" site, but each article also links to one of the other articles.
Link is a method of creating pattern of links from one website to the other and finally to the main site. It improves website visibility in SERP's.