These are called pingbacks as well (or trackbacks) and it happens when another site links to yours. Often times this is a form of backlink spamming as these people are hoping that you will publish their comment and get a backlink themselves.

I personally don't allow pingback messages to even show up within my comment area. They are useless and a nuisance. You can delete them within your Settings => Discussion under the top Default Article Settings.

Uncheck the "Allow link notifications from other blogs (pingbacks and trackbacks)" checkbox and this will no longer happen. (see attached image for reference as well)

If you don't know where it is from or from whom, I would leave it alone.

It CAN be a spamming technique, though not always. It has been my understanding over the years to disable trackbacks.

Let's hope it doesn't involve a spamming technique!

I found this on google:

"A trackback is a form of “blog conversation” that links two or more relevant blog entries together. One blogger writes an article that references or is relevant to another blog’s article and fills out the trackback section. When the blogger publishes the article the blog leaves a trackback on the other blog’s article, which usually appears in the comments area as a truncated summary with a link."

So I guess you should see what the trackback is all about and if you like the link on your site, then by all means approve the comment.

I am new to this, but I'm guessing that in many cases these trackbacks are more of the spam kind, so if the content is not relevant to your site, then just delete the comment.

The other day I received an email of some dude who wanted to put a link to my site on his site, and in the process was telling me how, and where I HAD to put a link to his site on my sidebar.
Needless to say, I will not be told by anyone what I MUST do with my site, so I deleted the email.
This was my first encounter with this kind of backlinking habits, but I'm afraid more will come.

Deepika, I was just about to ask the question here because I got two trackback notifications today in the comments section of a post of mine. I haven't approved them as I didn't know what they were. I searched for it in Google and it threw up many answers which are not very clear. I will be waiting for a response here from other more resourceful members. But it's a strange coincidence that you are getting these trackback comments too at almost the same I did. Spam?