What does this backlink mean?

I just checked the backlinks of two of my websites and found they both have the same backlnik. So far so good, but the wired thing was this backlink comes from /includes/config/ folder of some wordpress blog. When I tried to open this website in the browser it appeared Malicious Attack warning.

Here the backlink is (please, don't open it as it is harmful):

How the hell my websites have been injected there?

You've been hacked. A lot of times it's an insecure WP plugin. At the bottom of the page it says, "The E404 - RKH CREW". It's a bunch of links.

Warning: Something's Not Right Here!
cellphoneus.info contains malware. Your computer might catch a virus if you visit this site.

reinstall , change your passwords , check your themes
upgrade your security

No no, guys, You've misunderstood me. This is not my website... this link is a backlink to two of my websites and I found it with my backlink checker. Its weired because there is no way for me to set a backlink in the config folder of somone else's website.