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This is one of my favorite ten (check my profile page for the other 9)....
I used to think this too, so I can't really rag on people too much.
Google has said it doesn't and based on what I have seen - they are right.
If you have a page about google - then it might help - otherwise - you don't need to.
in answer to your question, there are 2 answers I know.
1, They are being helpful and promoting their favourite search engine.
but the one I think you mean is
2, Certain individuals think that by linking to Googles site will get you a higher position in the SERPS.
I have NO idea if this is true, but I very much doubt it.
Shak