One of the beauties of the World Wide Web is the ability to hyperlink. When someone makes a web page they can place a link on it to virtually anywhere they wish on the web. When someone visits their web page they can just click the link and the visitor's computer automatically loads the linked site in the web browser window. Most people use links to help their sites' visitors find other useful sites. When someone makes a page about himself or herself just for fun they'll usually add links to pages created by their friends.
Links can connect different web sites on different servers.