First time out and you pick a doozy eh?

Link is prety hard to do in DnD because LoZ and DnD really don't draw from similar source material. More to the point, design choices which properly emmulate the Hero in DnD usually wind up being sub-par. Example, Link's weapons: bastard sword, boomerang, bombs,
really big hammer, hookshoot, etc... almost all of these should by all rights be exotic weapons. Thats more EWP feats than anyone but a fighter can afford and more than it would be wise for even a fighter to buy. Your best bet just might be to talk it over with your DM and see how flexible he is willing to be. For example, the boomerang: I have seen a few stats for an exotic boomerang and to be honest almost all of them suck. More importantly none of them really emmulate the ability of Link's boomerang to whack an opponent and then find him on the other side of the room (just won't happen in the "real world"). But you know what will? A masterwork, +1 Returning club; 1d6 damage, range 10 feet, returns on the next round, 8000 gp and no EWP required. That also explains why there seems to be only one such item in Hyrule and why Link needs to quest for it. In a similar vein
bombs = Necklace of Fireballs
hammer = Maul of the Titans
Link is almost always characterized as an elf and a ranger so lets work with that. Take archery as your Ranger combat style because Link is a more versatile character than a specalized one and you can't gain his demonstrated proficency with the bow without it. He clearly uses a bastard sword (EWP Bastard Sword) and a large steel shield. His armor is harder to peg, I'd say go with a chain shirt and handwave it away as him wearing it under his tunic. He also almost certainly has the spring attack chain (Dodge, Mobility, Spring Attack). So far that is 4 feats just for his basic style; I think 2 levels of Fighter are inevitible. So Link might look something like:
1 Rgr: EWP bastard sword
2 Ftr: Dodge
3 Rgr: Rapid Shot, Mobility
4 Ftr: Spring Attack
After that go straight Rgr. More feats to consider include: Power Attack, Improved Crit [bastard sword], Iron Will, Combat Reflexes, and Die Hard (rangers get Endurance at level 3)
I have also seen arguments for building Link as a Paladin instead of a ranger, that is a good choice if you want to play up on the "destined hero" aspect of the character. Certainly Link is righetous enough for the holy warrior role and the idea of the Master Sword as a Holy Avenger works well enough.
Hope that helps.