First off, you're using the Advanced Editor (the default one), correct?
When you create a storygame you have the little blue icon to access the default First Page that comes with it, and you can directly create a new page connected to it from there with the Add Link to New Page button. (Note you may need to tell whatever browser you're using to allow pop ups for this site.)
You can also create pages directly from the Chapters and Pages page with Create New Page button, but those aren't connected to any other pages unless you add them manually later.
e:
Help & Info has a lot of user written articles. Some of them are a bit outdated (or a product of the different quality standards of long ago...) but you might find them helpful to browse through just the same.
e2: Okay I see you're a little further along than the OP made it sound, looks like you did figure out making basic links. Just keep doing the Add Link to New Page thing whenever you want to set up a new one.
When you're more comfortable with the basic stuff there you might want to enable advanced settings in Storygame Properties so that you have options to use variables and scripting if that's something you want to include.
