There is much interest in integrating millimeter wave radios (mmWave) into wireless LANs and 5G cellular networks to benefit from their multi-GHz of available spectrum. Yet, unlike existing technologies, e.g., WiFi, mmWave radios require highly directional antennas. Since the antennas have pencil-beams, the transmitter and receiver need to align their beams before they can communicate. Existing systems scan the space to find the best alignment. Such a process has been shown to introduce up to seconds of delay, and is unsuitable for wireless networks where an access point has to quickly switch between users and accommodate mobile clients. This paper presents Agile-Link, a new protocol that can find the best mmWave beam alignment without scanning the space. Given all possible directions for setting the antenna beam, Agile-Link provably finds the optimal direction in logarithmic number of measurements. Further, Agile-Link works within the existing 802.11ad standard for mmWave LAN, and can support both clients and access points. We have implemented Agile-Link in a mmWave radio and evaluated it empirically. Our results show that it reduces beam alignment delay by orders of magnitude. In particular, for highly directional mmWave devices operating under 802.11ad, the delay drops from over a second to 2.5 ms.