So this may sound a dumb question, but how do I show a link only for an admin user?
Suppose an ordinary user sees the following links:
Home / About / Contact  
Depending on what sort of Membership/User provider you are using, you should just be able to check directly from the View if the user is logged in and in the specific role.
So you would end up with something like;
@Html.ActionLink("Index", "Home") 
@Html.ActionLink("About", "Home") 
@Html.ActionLink("Contact", "Home") 
@if ( User.Identity.IsAuthenticated ){
    if ( User.IsInRole("Admin") ){
        @Html.ActionLink("Admin", "AdminController")        
    }
}
And remember to add [Authorize] attribute to your Admin action method:
[Authorize(Roles="Admin")]
public ActionResult Admin()
{
    // ...
    return View();
}