I don't believe you can just add links in the default "Modules" block that comes with all phpnuke installs. In order to add something in there, you must create an actual module, upload it to your sites modules folder and activate it onsite from your admin panel.

If your looking to simply add links in a module panel, you may be interested in replacing your default "Modules" Block with something such as this:

http://phpnuke-downloads.com/download-file-637.html

I like this block because you can do whatever you want with it and it has an easy to use admin panel that will let you do pretty much anything you want.

To see an example of this block in action, you can go to one of my sites that has it activated: http://www.gamemoviemaking.com