It will help you in creating links. For your PDFs, it depends where the PDF folder is located. If it's in the root of your Joomla installation, then click the JCE insert link button. You can then type "pdf/yourfilename.pdf" for the link.
If the pdf folder is not in the root of your Joomla installation, you can the folders leading to the pdf folder; for example, "folder1/folder2/pdf/yourfilename.pdf"
Hope this helps! Let us know if you have any questions.