How to create a page for a url link

My theme allows me to enter a link or url and it will connect to that page when someone clicks on a certain texts. I am confused how to create another page for this link. I dont want to redirect to another webpage or someone elses site. I want to create another page myself that it will go to. Where do I create this page. I tried to just add another page in my theme, and I used that url. It worked but the only problem is that the page that I added showed up on my hompage menu and I dont want that. PLEASE HELP!!