To the use a link appears the same if it is local or remote, the client just goes and retries the data and displays it for the user. Also it is possible to embed garphics, sound, movies, and much more within the documents. The client then determines which program to use to interpert the data, then calls it.
The Web allows us to navigate the sea of data through a uniform graphical interface. There are a few shorcomings of the Web, but the HTTP protocols are being continually updated so the language will not stagnate, and will hopefully evolve and maintain its usefullness as time passes.
Gee! I want one too!
The HyperText Markup Language(HTML) Guide
The HTML Quick Reference
The Uniform Resource Locator(URL) Guide
The Ampersand Escapes