It seems like you are missing some configuration settings, but we need more details to be sure of that.
Can you explain a bit how you set up your instance, and which options did you choose?
If you used Native Open edX Ubuntu 12.04 64 bit Installation, then double check the values you set for
You can also change these settings by editing the
/edx/etc/studio.yml files in the instance you deployed the platform. Once you update the LMS and CMS URLs, you need to restart the services so that the new configuration loads.
Once the platform has the right values, they will propagate throughout the platform - and that link should start working.
Can you check if that works for you?