Please explain the use of JavaScript closures in loops

I have read a number of explanations about closures and closures inside loops. I have a hard time understanding the concept. I have this code: Is there a way to reduce the code as much as possible so the concept of closure can be made clearer. I am having a hard time understanding the part in which the i is inside two parenthesis. Thanks

function addLinks () {
    for (var i=0, link; i<5; i++) {

        link = document.createElement("a");
        link.innerHTML = "Link " + i;


        link.onclick = function (num) {
            return function () {
                alert(num);
            };
        }(i);
        document.body.appendChild(link);

    }
}
window.onload = addLinks;