This is a header, there are 6 different grades of header

This is just text. You will notice that there is a difference between how the header looks and how the text looks. It is more pronounced in a graphical browser, but text browsers (such as Lynx) make due with highlighting, centering, etc. H1 is the most blatant, H2 slightly less so, and all the way down to H6.

This is a new paragraph. One important thing to remember is that the Browser doesn't care how your file is formatted. The browser will only pay attention to the formatting commands within the HTML file. The two used most often are the paragraph break <P> and the line break<br>. HTML directives are preceded by a less-than sign and closed with a greater-than sign, which means that you will have to resort to &lt; for a less-than sign, &gt; for a greater than sign, and &amp; for an ampersand. Luckily, they chose those characters because they aren't used that often, and are still on every keyboard.
That was just a line break, so you could see the difference betwwen it and a paragraph break. Now, we will get into links. Here is a link to the Pegasus home page. The A stands for anchor, the href field gets set to the URL of where you want the link to go. The text between the anchor directive and the close-anchor will be the actual link visible on the page.