Media Library and Links

I am having some issues with adding links to a page/post. Lets say I typed in some text and wanted to link it to a pdf in the media library. I want the text to read “agenda” but every time I try to link it, it changes the text to the name of the pdf in the media library. Is there a setting I can change to stop this from happening? This is very annoying.

Normally I would just change the text that is generated, but my client is using IE and that is causing problems.

Any help would be greatly appreciated.