EZ pages are actual pages in themselves. They aren't a way of adding content to other pages.

When you create an EZ page, you put your content in the big box labelled 'HTML Content', select where you want it to display, add a name for the page and click 'Update'.

The links boxes at the bottom can be used if you want to have a link in the EZ pages sidebox that links to an existing internal page, or an external URL.

Try it both ways, activate the ezpages sidebox and see how it works.