A number of different links can be used in the ARRSEpedia.
The two most comon are the internal link to another ARRSEpedia page, and the link to an external website.
Put a pair of square brackets round the link like so
The wiki formatting is turned off so you can see the brackets.
Once we turn it back on, we get Soldier. It's blue, so it's a live link.
If the link shows up red, then it isn't a live link. This means either you have spelled the link incorrectly (including punctuation and capitalisation) or no-one has yet written the page.
Try using the search function in another tab/window of your broswer, along with a few common mispellings, to see if the page exists but needs the link modifying.
If you want to use a pluralisation or somesuch, and the page you want to link to isn't pluralised, just add the square brackets round the bit of the word that "works", and as long as there are no spaces, it will show up as one long word.
For example (formatting turned off so you can see the text)
[[Soldier]]s shows up as Soldiers
A variation on the internal link, and a very useful one to save a lot of extra pages, is the aliased link.
This means that although the link shows up as one thing, the page it links to is actually called something else. As an example
[[example unfilled link page don't fill it please|red]] shows up as red.
Put the real page first, then the pipe character (usually shift + backslash), then the word you want to appear in the text.
The external weblink is similar, and there is a button in the shortcuts to help you.
The format is
[http://www.example.com link title]
Note that there are only one set of square brackets.
If you just use the web address and no title, you get this 
If you add a space and a tile after the website address, you can put anything you like, for example
A variation on the website link is the picture link. To insert a picture, all you need to do is add the URL with no brackets at all.
For example (wiki formatting turned off)