1. You need text first. So type something.
2. Mark part of the text with a mouse or keyboard (shit+cursors). This will be your so called anchor text.
3. Click on the icon with a symbol for link (little chain).
4. Enter desired URL.
This is useful for text capsules only. You can't insert hyperlinks in callouts. In photo capsules you already have a place for links (source). hope this helps.