When you are typing a message there is a series of buttons above where you type (BIU etc.
The button that looks like the planet earth with a paper clip next to it is what you click to add a link.
A window will pop up asking for the name to use like "Click Here" and then you press ok. A second box will pop up asking for the address: "http... ect"
You can also type is manually like so:
[***URL***=http://www.disney.com***]Link[***/URL]
(Remove the stars)