To add an Excerpt link

The following from Codex is just what I want to do, except I don’t know where to put the code. In what “loop” and how do I access the code file? I think I should learn how to apply it to all Post excerpts as well as how to apply it to a particular Post excerpt.

When using the excerpt feature WordPress does not automatically provide a link to a page containing the full post. To generate a link include the following code in the loop directly below <?php the_excerpt(); ?>