You can set keyframes with Linear interpolation or change a keyframe’s interpolation after the keyframe is already set.

To set keyframes with Linear interpolation:

1. In the Key Controls window, select Linear from the Type menu.
   

   Key Controls A. Linear type selected in the interpolation Type menu

2. Set keyframes (see Setting keyframes). The keyframes you set have Linear interpolation until you select a different type of interpolation.

To change the interpolation of a keyframe to Linear:

1. In the FCurves window, select the keyframe or keyframes whose interpolation you want to change.
2. In the Tangent options, select Linear to set the interpolation type.
   

   FCurves window (detail) in Classic Mode A. Linear interpolation type selected for the keyframe selection

   

   FCurves window (detail) in Updated Mode A. Linear interpolation type selected for the keyframe selection

See Editing Linear interpolation for how to edit your interpolations.