Kalipso lets you link your Project to other Projects and/or Components. This allows you to divide a Project into several parts and assemble them into one Project.
Link to Project All objects in the linked Project are made available in your Project
Link to Component Only exported objects in the Component are made available in your Project
Export When a linked Project/Component isn't set to export, it's not deployed along with your Project
The only scenario where you don't want to export a linked Project/Component is when you have bidirectional links. (Project A links to Project A and vice-versa).