To create HTML anchor links to other pages in your site, use Drupal's Path Filter link format, where the href attribute of your <a> tags is of the form "internal:node/123" (where instead of 123 you use the actual node number of the destination page.

For example:

See also the Drupal Path Filter site.

Tip: although you can link to the alias of your page (e.g. "documentation/foo"), it's best if you use the "node/123" syntax if you want your links to stay unbroken, should you happen to re-alias the pages on your site. To find the node number, go to the target page and mouse over its "edit" link, and observe the URL in your browser's status bar. Alternately, if you have access to "Administer -> Site Building -> URL Aliases" you can see the node numbers for all of your aliased content.

Another advantage of using this type of link is that you can move your Drupal site to another URL path in the future, without the links breaking.

Also note: if you have any problems with Path Filter links being broken after you change your site aliases, try going into "Adminster -> Performance" and clearing your Drupal site cache.