To create a so-called internal link to a page on the same wiki (a "wikilink"), use double square brackets wiki markup, [[like this]]. When you preview or save your changes, you will see a link that can be followed to the target page. If the page exists the link is displayed in blue; if the page does not exist, the link appears red (so the like this link is actually rendered like this). Note that the colors could be different if the color scheme of the wiki has been changed from the default. Following such a "redlink" to a missing page (whether or not it is actually red) will usually enable the user to create the page.
To markup any arbitrary string of text (not necessarily a page title) as a link, use a "vertical bar" or "pipe" character, like this: [[Category:Help|Help links]] results in the link the Help Page.