There are two or three places to change "blogroll" to "links" depending on what you want to do.
1. To change the category from "links" to "blogroll", in Site Admin go to Manage -> Categories and edit "Blogroll"
2. To change the Admin menu names, you need to do some core file edits.
In /wp-admin/menu.php, line 22 change ‘Blogroll' to ‘Links’, then in line 50 ‘Manage Blogroll’ changed to ‘Manage Links’
and
Changed the title of Manage Links page in /wp-admin/link-manager.php line 19 and 75 - changed “Blogroll” to “Link”.
3. To make the changes in 1. permanent for new blogs (I may have done some overkill here so someone correct me if I'm wrong)
Edited /wp-includes/wpmu-functions.php lines 1313 to 1318 and change every instance of ‘Blogroll’ to ‘Links’, and ‘blogroll’ to ‘links’ - only the ones in single quotes.
I think that covers it.