Once you add a content block to a page, rather than the usual pop up form most blocks will present you with, a toolbar will appear in your site. This is concrete5 in-context content editor. You can start typing in content, and use the various menu items to format text, add links, and add different types of content, such as images, to your content block.
By manually typing in a URL, you can add an external link. Clicking the network icon, you can add a link to an internal page that will update itself if you move the page to a different location so you don't need to update links manually. Click the document icon allows you to choose an icon for download. You can edit the link text, and also have an option to open the link in a "lightbox", or an overlay that pops "over" your page (useful for things like image galleries or videos, but can be used to display other web pages in a light box as well).