Now when you say "look at", how in-depth are you talking about? Are you saying you want to pass a domain to the script - e.g. phpbuilder.com - and have it crawl that entire site, following all links while searching for the link you specify?
If not, it could be as simple as:
$data = file_get_contents('http://theirsite.com/the_page.html');
$data .= file_get_contents('http://a-different-site.com/that_page.html');
$the_url = 'http://your-link-here.com/page.html';
$pattern = '@<a.*href=["\']' . preg_quote($the_url, '@') . '["\'].*>(.*)</a>@siU';
if(preg_match($pattern, $data, $matches)) {
// link found! here it is:
echo "<a href=\"$the_url\">" . $matches[1] . '</a>';
}
Note that this would require you to type in the link exactly as it would appear on the remote sites.