Linda got it almost right. ;-)
If your start node is not selected, move the mouse over the node, press and hold the left mouse button, and drag the mouse to the desired end node. When you release the mouse over the end node, a new straight-line edge using the default edge style will be created. If you release the mouse over empty space, a bend will be created. Each additional left click on empty space will create an additional bend. A right click will remove the last bend or (if there are no more bends), cancel edge creation altogether. When left clicking on a node, the edge is created.
The default edge style is the style in the palette that has a blue background. Double-click on another style changes the default style. (Node styles are handled the same way.)
If your start node is selected, an edge can only be created by dragging an edge style from the palette onto the selected node. Afterwards left clicks on empty spaces will create bends, left click on a node will create the edge, and right clicks will remove bends/cancel edge creation (as above).