The Insert Link command from the Edit menu creates a new link with a default title and no path specified. Use the Edit Properties command to change the path.
When the caret is on a link, use the Properties command from the Edit menu to modify its path.
When the caret is on a section, you can use the Enter command (ALT+Right) from the Go menu to edit its content.
This command is also available by double-clicking on the line.