A Glossary Link is a Hyperlink within the Bubble Text for a Topic or within a Web Page that links to a Web Page that is used as a Glossary Definition. Glossary Links are created automatically by UPK when you assign a Glossary to the Content Object and then update the Glossary Links - either when prompted after saving the Glossary, or by running the Update Glossary Links function (menu option Edit | Update Glossary Links).
Note that in UPK 3.6 and above, if you remove a Glossary (or a Glossary Term from a Content Object and then update the Glossary Links for that Content Object, then UPK will remove all previously-created Glossary Links that are no longer valid. This is a change from the previous versions (and OnDemand), where once Glossary Links were created, they needed to be manually removed.
A Glossary Link is really just a Hyperlink (with the exception that UPK knows that it was created via a Glossary update. It is possible to manually create a Hyperlink from a Topic or Web Page to the Web Page for the Glossary Entry - but you will lose the automtatic removal capability described above.