WordPress.org

How do I make it so that a page doesn't link to anything? I'd like to use it as a dummy container.

Just use "#" at the link. That won't go anywhere.

Can this be used to repoint categories to an arbitrary URL?

Not at this time. I'm considering it as a future feature.

My links are sending me to http://myblog.com/www.site-i-wanted-to-link-to.com ... why?

If you want to link to a full URL, you must include the http:// portion.

Can I link to relative URLs?

Yes. Linking to /my-photos.php is a good idea, as it'll still work if you move your site to a different domain.