To create links between different reStructuredText (.rst) files, you can use the built-in markup provided by sphinx. See Documentation under Cross-References.
at the top of the file you define its label
.. _my-reference-label:
then you can link to it from other documents using
:ref:'my-reference-label'.
I do not believe that you need to use the intersphinx extension, as it is intended for links between different projects. Using this method, you can link different RST files using their relative paths, as described in the documentation link above.
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