Different ending

Cutscenes and custom endings are just really clever uses of editing features. The more you know, the more complex you can make it.
For instance, if you just want to say "The end!" instead of rescuing Zelda, you would send Link to a room where he's trapped and invisible, and have an invisible Guy saying "the end!".

Oh, I see, you have a cutscene for the end, or an invisible guy with a string. Is there also a way to make sure that the program knows that it's the end of the game?

Nope. The only way to TRUELY end the game right now is to make Link walk over the Zelda flag. Although, I suppose you could just end the game with a cutscene that doesn't warp you anywhere else when it's done. You'd have to make sure you don't continue there though, so that when you save and play the file again, you don't get stuck permanently in the ending screen.

Oh, thanks. That helps, though it sounds a bit complicated.