If you want to link to another page in your site, select 'Link To - Pages in your own Site' and select the page from the drop down menu that appears if that option has been selected. If you want to link to an outside page, select 'Link To - External website (e.g.http://www.google.com)' and enter the URL for that site in the text field that appears after that option has been selected.
If you want the link to open in a new window, check the box called 'Check box to open your link in a new window.
Add a description and/or image to go with your link - both are optional and not necessary to create your link.
Click the green 'Save' button when finished.
If you want to create subpages, use the Links feature to link to other pages in your own website, then hide the subpages from your menu. Here's how to hide the pages from your menu:
Go to 'Edit Site' -> 'My Pages' -> 'Organize Menu'.
Click on the 'Hide' or 'Show' arrows next to that page, depending on whether you want it to be visible in your main menu or not. Please note the two menus on this page, 'Pages in Menu' and 'Pages Not in Menu'.