It depends on how powerful that link really is. If you use the old metrics like PR , a PR6-9 would have immediate effect on your site - it can contribute value within 24 hours to perhaps 5 days time - depending on which weekly update cycle that your site falls into on that specific search engine.
Otherwise, if a weak link - PR1-3 those may take 5 days to 2 weeks for the search engine to get noticed, and it may contribute a little to your site's overall ranking - which also depends on which weekly update cycle the search engine performs - I noticed there are 2 update cycles per week which is noticeable.