When you click on a blue link, like the one right HERE (or it may be purple for reasons mentioned below), it will take you to a different page on this website. The title of the page is often the same as the link you just clicked on, but sometimes it's different!
When you click on a red link, it will give you the opportunity to create a page on this website with a title that is the word or words in the link, or it could be the word or words that come before the "|" symbol when you view the link on the edit page. It is also the same with brown links. When the links are brown it means you have already been on the edit page.