You can set keyframes with Linear interpolation or change a keyframe’s interpolation after the keyframe is already set.
In the Key Controls window, select Linear from the Type menu.
Key Controls A. Linear type selected in the interpolation Type menu
Set keyframes (see Working with keyframes). The keyframes you set have Linear interpolation until you select a different type of interpolation.
In the FCurves window, select the keyframe or keyframes whose interpolation you want to change.
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.