Definitions that make it easier:
Module: The block, main image, picture describing what it does
Node: The little circles on sticks protruding out of the module
Link: The actual line between the 2 modules connected between an output node and an input node on seperate modules
So to connect, right click a node to begin with, then left click another node to end it. You can only connect output nodes of modules to input nodes on other modules. Loop-backs are not permitted. Both of these will show an error if it happens and prevent the linking.
So right click output node of module A, then left click input node of module B.