There are three major types of links: bluelinks, redlinks, and external links. Here is information about each type of link.
These links, created by simply putting the desired link-to article between two brackets ([[Article title]]), provide a link to another article on the same wiki.
These links, created in the same fashion as bluelinks, provide a link to a non-existent article on the same wiki. Clicking on the redlink will take you to a prompt page where you can create the non-existent page. If an article has too many redlinks, you may add a Redlinked tag to it.
These links, created by putting a site name between a pair of brackets ([http://www.blah.com]), provide a link to an external, off-wiki site.