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As Cyrus mentioned, OSE does not account for every single link in the world. Your website at the moment is very small in comparison to other sites, and Roger simply cannot find your tiny links amongst the rest of the web! Needle in a haystack. HOWEVER. Open Site Explorer isn't the only way of finding this information. Analytics & WMT are both relatively good for finding links, both internal & external. If you can physically see and count the links on the site, then you just need to wait for Google to index them - you can check this in WMT.