buying plane tix Madrid to Alicante

[travelingirl]

I am shopping for plane tickets on student universe.com and does anyone know how to buy a connecting flight to a smaller city once you are in Madrid? I thought I could buy a ticket onto a smaller plane from Madrid to Alicante right on the website, but I don't see anywhere that I can do that. I would like to buy it before I leave. Any advice?
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Mary, the Incurable Wanderluster