Very much a North American custom - linking the little fingers is a "pinkie swear" and indicates a promise made that cannot be broken. You will need a native Canadian to explain the second part of the phrase, which is not what was used by my little friends.
I was almost 11, a very mature age in my opinion, when I came to Canada, so I never used that particular custom. However, I think my daughter did, and it was a "pinkie promise". And, yes, it means a promise NEVER to be broken! At least in a young girl's life.