you'll need to be logged in as a user with the rights to do this, typically the admin or host user. If you're logged in as either of those users you usually see a pencil icon beside a link in the link module that allows you to change settings such as the text or the URL. If the link is just in a module such as text/html (ie. one where you see a Word like interface such as the one you see when you add a new forum post), then you just need to select the link text and click the anchor icon (2nd row furthest left) to update.

If you're new to this, it may be worth your time picking up a guide, such as the dotnetnuke for dummies book http://www.amazon.com/DotNetNuke-Dummies-Computer-Tech/dp/0471798436.

Cathal