Within the same folder, just use the file name:
<a href="https://stackoverflow.com/questions/908765/thefile.html">my link</a>
Within the parent folder’s directory:
<a href="https://stackoverflow.com/questions/908765/thefile.html">my link</a>
Within a sub-directory:
<a href="https://stackoverflow.com/questions/908765/subdir/thefile.html">my link</a>