As far as linking goes, this really has nothing to with Dreamweaver... Dreamweaver is an authoring/editing tool - albeit with far more features than a text editor - but essentially, they are both tools.
For your CSS linking, you need to attach the style sheet to the document you want the styles to be used in. You can do this a couple of ways - one way would be to use the full URL path with the "http://" as you mentioned. The other way is to use a relative path. For example, if you page is "index.php" and happens to be in the site root and you were to keep your css page - I will choose the arbitrary name of "styles.css" - inside a folder called "css", you're "index.php" page would need this placed within the "head" code:
<link href="css/styles.css" rel="stylesheet" type="text/css" media="screen" />
Notice, the styles.css is linked using a relative file path. You could also use absolute linking like this:
<link href="/css/styles.css" rel="stylesheet" type="text/css" media="screen" />
Notice I added a slash in front of "css". This means no matter where in the site's hierarchy (even if I was 3 folders deep), it will attempt to locate the CSS folder starting from the root level and then go from there.
If you're not seeing your style in Dreamweaver, it's likely because of path issues that I just stated.