It's unclear whether by "indexed" you mean just any page of the site, or whether you mean the whole site. If you have quite a few pages, it will take a very long time for search engines to index the whole site, and they may never index everything (particularly Bing/Yahoo).
The other thing to remember is that search engines need to revisit the pages linking to you, to find those links. That can take over a week in itself if it's a static page that has not changed for months.
Make sure you have some links that are not "nofollow" - if the links have rel="nofollow" in the code then Google will probably ignore them. Most user-generated content (e.g. Twitter, this site) adds nofollow to the links.
Even with all this in place, it can still take a few weeks for pages from your site to be indexed, so just be patient! You can check how many pages are currently indexed in each search engine in their respective webmaster tools sections, or simply by searching for site:example.com.