Nope.. As long as you don't grab the actual content and display it as your own without permission you can grab the links. What is the difference of having a script do it or typing it in by hand? Linking to a website is what the entire web is about.
I use ASPHTML which is a commercial ASP component developed by Server Objects. it can request any page that is publicly accessible on the Internet and let you parse it via your own script. Another one is called ASPTear which is free. I know there is a module for PERL that does the same thing and I am sure PHP should have the capabilities to do it
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