Nothing's wrong with that code, it works well.
Those changes include:
- replacing new Array() with 
- not using push, and instead defining the array contents as a group
- use one var statement to declare variables
- assign nIndex when declaring the variable
- remove the useless 0 +
- apply spacing between operators such as * and =
Which results in the following updated code:
var aMyLink = [
nIndex = Math.floor(Math.random() * aMyLink.length);
window.location = aMyLink[nIndex];
but those changes are entirely for the benefit of the people reading the code. The web browser has no trouble running the original code, though it is admittedly slightly less efficient than the updated code.