I'm not positive about how the WordPress system works, but I do know that, when it comes to seeing where you users are coming from when using a regular stat program (I use Webalizer - comes with my hosting package), this is a common occurrence.
If the "Incoming Links" thing in WordPress is working in the same manner, you don't have anything to be upset about. It's only showing you the refering page that the end user came from - in other words, the site that the user was visiting before coming to your site.
Doesn't mean there's a link to your site. It just means that's the page the user was at before visiting you. The person coul dhave you bookmarked and just cliked your link from their "favorites" list. Or they could have been in a conversation with someone and they typed in your URL.
That's all there is to it. It's not a "fake link" - it's just where they were right before coming to see you.
Again, I don't know if that's how the WordPress system works, and it's just showing you your referer logs - but if so, then that's what's happening.