I'm tryin' to book at Thalys.com a ticket from Bruxelles to Brugge but there's no connection between them.
I'm doin' Paris, Bruxelles, Brugge, Rotterdam and Amsterdam
Is it the best order or Paris, Brugge, Bruxelles, Rotterdam and A'dam?
What other local trains companies can I search?
For Brussels to Brugges and most other connections you simply use regular inter-city trains. Advance reservations are not possible, just purchase your tickets before you board the train on the day of your journey. The only time you will need to book advance Thalys.com tickets is between Brussels and Paris. You can check schedules here: www.b-rail.be/main/E/
Belgian Rail connects Brussels to Bruge. Trains run all day long. You won't need to book in advanced. When you get off the Thalys (probably at Brussel Centraal), just buy your tickets at the counter.
And also take IC trains for Brugge-Rotterdam and Rotterdam-Amsterdam. For Brugge-Rotterdam you will need to make one or two connections (sometimes one at Gent and one for sure at Antwerpen).
When we made that trip we just went to the RR station and bought our tickets from a clerk. In doing it that way I could ask questions about the trains we would be traveling on. It's really quite simple.