EZ Pages are stored in the database. Define pages are an entirely different thing, created with files. How did you make the page you're trying to link to with EZ Pages?
That has been baffling me. I want my Internal Link "index.php?main_page=FAQ" links to my created page FAQ.php, but 404 error found. I put FAQ.php under \includes\templates\MY DOMAIN\templates. Where should i put it?