Files - .pdf, .doc, videos etc must be less than 2Mb, if they are larger, consider using YouTube for videos (or embed them in the page - see tutorial) or 'Yudu' for pdf files.
To begin, click the 'Link' button in the toolbar:

The following small window open:
In the 'Display Text' box 1, enter the text that you want to form the link, e.g. 'see this page x'
In box 2, enter the url of the page to which you want to link
Click 'OK' when finished.
Write some text that you want to be the link, for example 'pdf instructions' (or this can be entered in the 'Display Text' box below)
Highlight this text.
Click the 'create link' button, as above.
Click the 'Browse Server' button:

A window similar to below will open. On the left is the folder structure - you can add folders (see tutorial) if your site is likely to be large, with lots of images and files. On the right are any existing files in that folder. You must open the folder in which you want the file to be uploaded - you can't move files around within the file manager.

Above the existing files is an 'upload' link (highlighted in red in the image above). Click this.
A window showing files on your computer is opened. Navigate to where the pdf file you want to upload is stored, then double click on it to select and upload it.
When the upload is complete, the file will be displayed on the right of the file manager window above. Double click on this file.
The link url will now have the location of the file. Click OK.
The text you initially highlighted will now be a link to the pdf.