personally, I would put
$link_to_my_page = zen_href_link( FILENAME_MY_PAGE, '' );
on the line above the line where i wrote
echo '<a href="' . $link_to_my_page . '">Link Text</a>';

You should think of php as a printer. Unlike C++, php is a lazyboy easy language. If you step even an inch out of line with C++ it puts you in your place and lets you know who's boss. But php lets you do what you want.

"echo" means print, everything other than echo is stuff you need to do to print.

By the way don't bother watchong Flock with Richard Gere, it's rubbish.