Links To The World
When you click on the Links menu in the left column you are offered three choices: Edit, Add New, and Link Categories.
Clicking Add New will open the Add New Links page. There are four key items/areas you will want to consider for your new links:

The first two of these are quite obvious. The Name is the text that will display, and be clickable, for the link. Enter only text in this field.
The Web Address is the URL of the page, page location, or other web object (image file, flash file, video file, music file, etc.) to which the link text (name) will connect. Enter only a correctly constructed web URL in this field. Web URLs looks like this:
http://www.msmosites.com/
http://msmosties.com/about/
http://msmosites.com/index.php
They always begin with the protocol designator, in this case http://, contain a domain (with or without www) and end in a forward slash (/) or a file name (ie: index.php).
The Categories section allows you to select (tick box) one or more categories to which the link is to be assigned. Link categories help you group links to be used in widgets that will add them to your blog sidebar. Category names are often used by these widgets as the display title.
Blogroll is the default category and refers to a list of links to other blogs. You can add additional categories with the Add New Category link on this page or the Link Categoriess menu choice on the left column Links menu.
The Target section allows you to choose how your linked page will be displayed. Selecting _blank is the most common choice. This opens the linked page/document in a new browser window or tab, keeping your blog open so the viewer can easily return to it.
There are other items on this page that you can explore. When you have finished configuring the new link click the blue Add Link button to save what you have done.
The Edit item in the left-column menu will open the Edit Links page which displays a list of the links you have created:

Mousing over the entries on this page will offer you the choice to Edit or Delete each item. The edit choice will open a page similar to the Add New page with the details of the selected link in place. You can edit or add information and update the link. The Delete choice will completely remove the link.
The Link Categories choice in the Links menu opens a page that allows you to add new categories and edit existing ones:

To create a new link category you need to add a Link Category Name and, if you wish, a description. If you mouse over the existing link categories on the right you will be offered the choices: Edit, Quick Edit, Delete. Notice that the default category Blogroll does not offer the Delete choice. This link category may not be deleted.
Click Here for a short (about 5 minutes) video that might help put this all in context. You’ll need a Macromedia Shock Wave Flash player plugin for your browser (most people already have this) to see this video.