To provide local files for download, for example PDFs or Word documents, just drop them into your page from Explorer. They will be handled in the same way as pending image or video uploads.
To create a link to another webpage, first of all type the text you wish to appear as the link, then drag the mouse over it to highlight it. Now press the Link button on the editing toolbar. (You can also use Control-L) The Link dialog box should appear. In the URL box, either enter the location manually, or click Browse to use the file manager to select it.
An important distinction has to be made between files on your own website, and files on other sites. Links to files on other websites should be a fully qualified URL. That is, something along the lines of http://www.theotherwebsite.com/thispage
Files on the same website should, however NOT be linked as full URLs, because doing so will 'nail your site down' into one specific place on the Web. If you were then to change the domain name you are using, you would have a massive job to do, fixing all those 'nailed-down' links that point to the old domain.
Instead, you should use local links. A local link is simply the name of the file in question. That is all. For example, anotherpage.php
If the local file is in another folder (directory for you linux afficonados) then you should use a relative path to it. If the folder is below the current level this will be, for example, blog/newsitem.php
If the folder is above the current level, use the two dots notation to go up the tree. For example, ../anotherpage.php
You can if you wish use paths from the root if you know the content will never move in your own webspace. For example, /blog/april/news.php
The important thing is that files on the same website DO NOT have http:// or domain.com prefixed to them. Remote files, do.
The second tab has the Target dialog. This determines where the link will open, when clicked. For files on your own site, you will probably leave this blank. For links to other sites you may wish to make it 'New Window' so that you don't lose the visitor completely to the other site. In most modern browsers 'New Window' will actually cause the site to open in a new tab instead. So when the visitor is finished with the other site they will still have yours open in the original tab.