A link wheel refers to a collection of websites that link from one to the other as well as back to a specific website with the aim of boosting the SEO performance of the specific website in question.
Say the specific website was http://www.example.com.
You could set up 20 websites, and write content so that site one links to site two and back to http://www.example.com. Site two then links to site three and http://www.example.com, and so on. Site 20 at the “end” of the wheel would then link to site one and http://www.example.com.
Link wheeling is a black hat SEO technique, and while large link wheels consisting of websites across various industries might help you to avoid detection, Google will eventually catch up with you and penalise the specific website you have targeted for an SEO performance boost, as well as the sites making up the link wheel.