There are four sorts of links in MediaWiki:
To add an internal link, enclose the name of the page you want to link to in double square brackets. When you save the page, you'll see the new link pointing to your page. If the page exists already, it is displayed in blue, empty pages are displayed in red. Selflinks to the current page are not transformed in URLs but displayed in bold.
The first letter of the target page is automatically capitalized and spaces are represented as underscores (typing an underscore in the link will have a similar effect as typing a space, but is not recommended, since the underscore will also be shown in the text).
By default, when you write a URL as is, it will be transformed in an external link.
To avoid that effect, put the URL between <nowiki> start & end tags as in:
Interwiki links are links from the local wiki to another wiki. For example you can link to the Sunflower article on wikipedia.org by typing [[wikipedia:Sunflower]]. This results in a link like this: wikipedia:Sunflower
Similar to internal page links, you can create piped links, with alternate link text. e.g. [[wikipedia:Sunflower|big yellow flower]]
Basically this is an abbreviation for longer URLs. A very similar link could be created as a normal external link by typing [http://en.wikipedia.org/wiki/Sunflower Sunflower], but interwiki links allow you to type out an easy and compact link, almost as if you are linking to a page on your own wiki.
Some interesting things to note:
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