If we type :help in vim, read the vim help file, and see a blue (or say green-blue) word, that word is a link. We can put the cursor in the word, and press Ctrl-] on the keyboard, then we go to the linked contents.
I am new to .rst files. My question is, when I read a .rst file, and see a blue (or say green-blue) word, can I press any key so I can go to the linked contents?
The reason these "links" work in the help files is because vim have created tags files for you.
Find a proper program to generate tags file rst and you will be able to jump to these as well.
See :help 29.1
for more information.