It's the word "link" that's confusing me. Are you concerned about removing the link? or the object that is being linked to? Is the link in question to a url? or a link to a program somewhere on your machine? It almost sounds like you are talking about a bookmark -- a clickable url that is typically underlined and in a different font colour that opens a browser to the web address in question. I didn't know you could put those kind of links in Ubuntu's launcher.
How do I show the link that I followed? Or should I not do this?
You show a link by clicking on the small icon above the composing window (where I am typing this message now) that is a picture of a globe with one link of a chain underneath it. You click on that icon and supply the text you want to appear in your post and the url of the site you're linking to. Here
is an example of that kind of link. The text is "Here" and it is linked to linuxquestions.org. I hope this clears thing up a bit for you.