The first example comes from espn.com.  There's a section of their sidebar which normally has information about the fantasy sports leagues I'm in.  However, when you're not signed in, it tells you to sign in...somewhere else.  There's plenty of room to have a login form on the page there so I don't have to hunt for the "Sign in" link.  If they don't want to do that, give me a link I can click to see a login form.  Telling me to find the place to log in somewhere else on the page just doesn't make sense.

The next one is much worse.  This comes from the Xbox live account management website.  This website has about 5 gazillion major UI problems (Microsoft's specialty) but the worst one is the FAQ box they put on many of the pages.  It has links that say things like "How do I update my credit card expiration date?".  If you click that link, it takes you to a page saying something like "to update your credit card expiration date, go to this other page and then click the 'update my CC info' link".

Let that sink in for a second.  You click on a link which tells you to click a different link, and then click another link.  Is there some reason the original link could just take you to the correct page?  Microsoft can go ahead and replace the "How do I update my credit card expiration date" FAQ item with a different link saying "Update my credit card expiration date".  Am I missing something?  Is there some reason we need an FAQ page about this?

You'll find examples of this type of behavior all over the internet, and it's almost always horrible.  There is one case where it makes sense to tell a user how to do something rather than just give them a direct link.  That is if you want to educate the user so they can find that page again.  For example, LAS has some help text that explains how to add a note to a contact (rather than linking directly to the page) so that the user can learn how to add notes the correct way.