You would first create your new HTML page, and name it something unique to what the content is about. Then on the page you wish to link from, use text that briefly explains what the page is, and provide the link.

Example:
Click here to download Episodes. (Use the whole line as a link, or just the word Episodes.)

Without a “button”

For Page 2, Click Here

With a “button”

Click Here for Page 2

The and are not really necessary but a good idea.

If you mean just how to create a webpage, simply open a program like Notepad and start coding. However, although that’s what the professionals use (for the most part), you may want to use a WYSIWYG (what-you-see-is-what-you-get) editor like Dreamweaver or FrontPage.
If you are talking about inserting another HTML page inside an existing one, use the iframe attribute,
If you are talking about creating a whole new separate page in your server/directory (like something.com/newPage.html), Every FTP server usually has an option to create a new page and/or edit an existing one.
If you are talking about using HTML to create the page dynamically, you cannot. Only server-side languages like PHP, ASP, or JSP can do this.
If I did not answer you question fully, feel free to email me and I will answer you shortly.
Good Luck!