Lee, I'm sorry it took me so long to see this question.
You have to highlight the word, and then click the "link" icon at the top bar (wherever it is you're writing - text box, profile edit box, etc.)
You'll get a little window that has a space for you to type (or paste) in the URL address where you want to link to. I don't think you'll see an "http://" already there (I forget), but if you do just make sure there's only one "http://" in that white space where you type/paste the URL address.
Then click on "Insert" (right under the space where you type the URL address).