Go file>append and choose your blend file, you'll see a bunch of different categories you can go into. Most of the time you'll want to go into object, because everything in there will bring in the actual object, all the other categories will bring in data/properties for that particular thing. So if you add something from the Lamp category, it won't add anything to your scene but it will add those particular lamp settings. So if you create a lamp you can go into its properties and choose that data/preset from the menu:
Linking works differently, it will add whatever you chose into your scene but it won't let you edit it. Instead it will strictly keep the data from the original file. This is really useful because you can have an object or character in a bunch of different scenes, and if you want to update it you can just update the original file, which will then update it in every file that it's linked in. For some things like characters though, you obviously want to be able to edit it to a point so you can actually animate it. I'll use my minecraft rig as an example. Go to file>link and find the blend file. Then go into group (because the whole character is made of multiple objects and an armature, I grouped it) and select Minecraft. The entire thing acts as 1 entity and you can't edit the pose, so you need to create a proxy for the armature. Select it, and press ctrl+alt+p, then select Minecraft_Rig.
This will create another object for the armature, which you can go into pose mode with and actually move the character. If you want to have multiple characters, make several copies of the blend file and link them all individually into your scene.
Also, there's some things you can do to make his interface a bit nicer. Firstly, go into the sidebar and under Display enable textured solid. If it appears all blurry, press ctrl+alt+u, go to the System tab, and disable Mipmaps. To get rid of the floating dotted lines disable Relationship lines under Display. Finally to remove the giant cross under his feet, select the object (not the armature) and go into the object data in the properties window (propeller icon). Turn the Size: property down as low as it can go.
Also also, sometimes all the layer buttons and sliders in the sidebar might disappear. To fix that you need to re-import the script into the scene, because blender randomly removed it for no reason. Go to file>append (or link, doesn't matter) and find the character's blend file. Then go into the Text category and add Minecraft_Rig.py. Go into the text editor window, choose that script from the menu and then hit run script. If you have multiple characters the script actually might not play nicely for all of them.. So if it doesn't you can try adding more code to the script yourself (you just have to copy and paste the entire thing and then change some of the values, for each character) or just send me a message and I'll figure out a system eventually
Hope this helps.