You can always check backlinks across different search engines via tools like that offered by marketleap.com and hundreds of others that are available. But some people like to do things manually, so here is a quick review of how to check backlinks from some of the search engines. (Note that search engines may not report all of your backlinks, especially Google).
Google - link:www.yourdomain.com
New MSN Search Beta - link:www.yourdomain.com
Yahoo! - link:http://www.yourdomain.com
Note 1: With the Yahoo! link: command, you must also include the http;// part of your domain. Also, with any of these, you may get different results for www vs non-www , so use the one that you use most frequently (hopefully all of the time) when you acquire backlinks.
Note 2: The new MSN search beta url is http://techpreview.search.msn.com/. Because it is beta, it may not always be up and running. Still, it seems to offer a very good list of backlinks, including new ones.
Note 3: The list of backlinks that Google provides is almost useless, but I include it here just because...