Joomla doesn't have an automated method for linking between it's article. If you have an already created article that you want to link to, you will need to know the URL of the article. The easiest way to find the URL of the article is to navigate to it on the frontend of your site. Copy that URL, then click the insert link button in the editor to add the link.
There is a Joomla 1.5 extension that helps automate this linking. You should be able to install and use it on your Joomla 2.5 site. You can download the extension from the official extension site: http://extensions.joomla.org/extensions/structure-a-navigation/content-links/4010.