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Are they all linked together in the game? or just seperate lands? i.e. do I have to link them together to make the world?
The areas that come as default are, as far as I know, all linked in the sense that each area has at least one room which links to another area, thus connecting them.
As for a map, that is harder to do, because there is no real "big picture" that I am aware of.
What I would do to get the general idea is to open each area in the Area Editor (available here), and find which ones have external links (that is to "missing" rooms for a particular area).
For example, loading daycare.are and doing an "area check" reveals, amongst other things:
Checking rooms
** Exit: up to #6500 (not in area): from room #6601
Now if we type "zones" into the game itself, logged in as admin, we see this:
zones
limbo.are | Rooms: 2 - 99 Objs: 2 - 99 Mobs: 1 - 99
newgate.are | Rooms: 100 - 199 Objs: 100 - 199 Mobs: 100 - 199
plains.are | Rooms: 300 - 345 Objs: 300 - 313 Mobs: 300 - 350
astral.are | Rooms: 800 - 899 Objs: 800 - 899 Mobs: 800 - 899
gods.are | Rooms: 1200 - 1201 Objs: 1200 - 1200 Mobs: 1200 - 1200
srefuge.are | Rooms: 1500 - 1599 Objs: 1500 - 1599 Mobs: 1500 - 1599
pixie.are | Rooms: 2070 - 2099 Objs: 2070 - 2077 Mobs: 2070 - 2073
unholy.are | Rooms: 2101 - 2172 Objs: 2101 - 2150 Mobs: 2101 - 2120
manor.are | Rooms: 2400 - 2499 Objs: 2400 - 2499 Mobs: 2405 - 2484
chapel.are | Rooms: 3405 - 3475 Objs: 3400 - 3430 Mobs: 3400 - 3416
midennir.are | Rooms: 3500 - 3590 Objs: 3500 - 3550 Mobs: 3500 - 3550
grave.are | Rooms: 3600 - 3651 Objs: 3600 - 3613 Mobs: 3600 - 3605
haon.are | Rooms: 6000 - 6156 Objs: 6000 - 6155 Mobs: 6000 - 6117
dwarven.are | Rooms: 6500 - 6554 Objs: 6502 - 6519 Mobs: 6500 - 6517
daycare.are | Rooms: 6601 - 6651 Objs: 6600 - 6647 Mobs: 6600 - 6610
sewer.are | Rooms: 7001 - 7445 Objs: 7190 - 7310 Mobs: 7000 - 7206
redferne.are | Rooms: 7900 - 7918 Objs: 7909 - 7911 Mobs: 7900 - 7900
grove.are | Rooms: 8901 - 8999 Objs: 8900 - 8919 Mobs: 8900 - 8911
Build.are | Rooms: 9500 - 9589 Objs: 0 - 0 Mobs: 0 - 0
export.are | Rooms: 9810 - 9899 Objs: 9810 - 9899 Mobs: 9800 - 9899
newacad.are | Rooms: 10300 - 10499 Objs: 10300 - 10499 Mobs: 10300 - 10499
newdark.are | Rooms: 21000 - 21499 Objs: 21000 - 21435 Mobs: 21000 - 21499
gallery.are | Rooms: 24800 - 24899 Objs: 24800 - 24899 Mobs: 24800 - 24899
Areas listed: 23 Loaded: 23
This tells us that the "external link" from daycare.are is in room 6601 and that takes us to 6500 (which we see is in dwarven.are). We also see that we go up to go from 6601 to 6500, so presumably daycare.are is below dwarven.are.
Now if we open dwarven.are and do an area check we see:
Checking rooms
** Exit: down to #6601 (not in area): from room #6500
** Exit: southwest to #3502 (not in area): from room #6500
This confirms that room 6500 is the linking room. You go down to 6601 (which is symmetrical with 6601 going up to 6500). So that is indeed the room that connects the two.
Also to leave dwarven.are in another direction we go SW to 3502 which is in midennir.are.
So what you could do is start making bits of paper and joining them together in the designated ways (or some sort of drawing program on the computer), and eventually work out the general map, of which area connects to which.