Pages and several module types (Announcements, Media, Links, etc.) have settings that allow you to create a link to a URL, page on your site, or file (such as a document) as part of the Module's content. Others require you to select a file such as an image or sound file. The steps to do this is the same for each Module (excluding a HTML Module).

None - No link specified. For Pages when the link for the Page the Page content is displayed.
URL - When the link is clicked the user is taken to a specified URL.
Page - When the link is clicked the user is taken to a specified Page on your site.
File - When the link is clicked a file from your site is downloaded.

 Figure 1 - Specify None