1

Links are called Blogrolls. They are saved to the Sidebar area
Click on Blogroll and then Manage Blogroll
You can delete the WordPress links or leave them there
After you add other links, they can be edited in this section 

2

Click on Blogroll and then Add Link
Give the link a Name. Description is optional
Copy or type your link's url into the Address section
Remember to replace the extra http:// at the beginning, if necessary 
Click on Add Link