Hypertext is text which contains links to other texts. The term was coined by Ted Nelson around 1965.
HyperMedia is a term used for hypertext which is not constrained to be text: it can include graphics, video and sound, for example. Apparently Ted Nelson was the first to use this term too.
Hypertext and HyperMedia are concepts, not products.
In the World Wide Web, every document, wherever it is in the world, has an address. A link is simply that address, attached to a piece of text. When you follow the link, the browser fetches the document from the server which holds it, and shows it to you. You need not know where it came from.
See also bibliography , the W3 project .