Headers automatically become HTML anchors, which can be linked to.
The <a> tag is not allowed in MediaWiki, so one cannot use <a name="link here">; however, one can use the "id" HTML attribute with almost any existing tag. For example, <div id="what_to_link_to">text</div>, <div id="what_to_link_to" />text or alternatively, for inline use in bulleted lists, <span id="what_to_link_to">text</span>.
The HTML source of the external target page needs to have <a name=..> or <.. id=..> at the target item, as an anchor to link to. Thus, to link to a position in an external page, for which this is not yet the case, one would need control over the target page or the cooperation of the entity that does.