Links within lessonsLinks within lessons are for clarification. For example, in my lesson on French nouns, the second paragaph includes links to four other parts of speech which have something in common with nouns. Those parts of speech will be featured in future weeks, so you are not required to follow the links to complete the lesson on nouns. However, you can if you want to: they are there for anyone who might be unfamiliar with those terms, or who is interested in learning about them in French before their "official" inclusion in the course.
Links at the end of lessonsThere may be up to three types of links at the end of any given lesson: additional pages of the lesson, practice pages, and additional information. The latter are once again optional: they provide access to additional information for the curious and for anyone who feels like going above and beyond.
In contrast, additional pages for a lesson are usually denoted both by page numbers and by text links, and those are part of the same lesson, so you should click them in order to complete the lesson you're working on. On rare occasions, such as in my lessons on articles, the different pages cover separate but related topics (in this case, three different types of articles) and do not need to be studied all at the same time. Again, they will be featured later, so you don't have to worry about missing anything.
When lessons include quizzes and/or practice links at the end, you should click through to them in order to make sure you've mastered the material.