There are 2 main way to link content together: WYSIWYG editor linking & content type field linking.
With the WYSIWYG editor, linking behaves as you'd expect. You highlight text and link it to a section, a piece of content or external URL.
With the content type field linking you can choose between linking to a section or a content type. If you need to link out to an external URL from here, you need to create a a link section & then point to that section.