For DOM (or HTML or DHTML or what have you), how objects work isn't quite as broad as how they work in Excel, but the same principles generally apply. For instance, if you wanted to access a cell in a table, you wouldn't expect to go through the links object to do it. That's why you only access cells through a rows collection, which is accessed through a table object. It's a matter of sorting and limiting how things are accessed.
And just to re-emphasize, Microsoft's HTML and DHTML Reference is an excellent resource to keep around for your own learning
2) When you talk about objects here, is it somehow different from Object-oriented programming or you are still taking about the same thing? I am still at the very beginning of learning OOP in AHK_L;
3) You mentioned HTML here. Actually, I am quite familiar with HTML, but I had no idea that HTML would be somehow related to objects. I thought objects are altogether an attribute of programming in some OOP language, but I have never considered HTML to be a programming language;
4) Thank you for all these references.