Hi there,
Do you mean you inserted this into the layouts/partials/footer.html file?
This line is in markdown syntax, and is meant to be used inside your markdown content file, not from a layout file.
What does your config file look like?
By default, Hugo will render a page at content/foo/bar/baz.md to yoursite.com/foo/bar/baz/index.html, unless you have uglyURL configured.
There may be other things going on in addition to these issues, but you should try in your layout/... file, to add this:
<a href="/colophon/colophon/">Link to Colophon</a>
It is generally easier to help you if you had your site code somewhere we can have a look at. Have a read about Requesting Help