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open theme.html.
Navigate to the area where the links are currently defined.
(look for the <a href="path/path/path">Link Name</a> string)
Edit this as you see fit.
There are many ways to create "pages" you can either use modules pages.
(<a href="yousite.com/modules/newbb">Forums</a>)
Or you can create custom html pages and use a content wrapper.
(
Like This One}
Essentially you just create a custom html document then use this to frame it withing your site.
BOL