How to Use Related LInks

First: Terms,
Caption: text display for links
Link: The place that goes to when the link was clicked. It could be external link or internal page.
When choose internal page, the link URL will be generated base on the page it pointing to. So it will update itself when the page changes. But it will not check if the page is available to visit. When use external links, you are opened to all the feature that a html link could do. But you need some html knowledge to properly use that. And again, it will not check the entered link is working or not.
It is recommended to use related path for links under the same domain.
Please read this regarding absolute path and related path
New Window: browser  will open up new window or tab for the link clicked.
Refer to the following image
When edit a current link, the text to click is "Choose" and "enter enternal link". It is not very obvious due to the Umbraco template.