The Linked Pages plugin allows links between posts to be created using customisable page pickers and then displayed using the built in widget.
Installing this plugin, is just like installing any other WordPress plugin.
/linked-pages/folder from the archive
Once installed, activate the plugin and customise it using Appearance > Widgets and Tools > Page Pickers
For more information about plugins and installing them, please review the managing plugins section of the WordPress Codex.