– create the text that you want to contain the URL
– select it
– with that text now highlighted, click on the little chain icon in the Visual tool bar above
– paste or type the URL into the dialog
– click the Return icon or hit return on your keyboard
– that’s it….
Just remember that the link will fail if you simply try to paste a copied url into the regular Create Topic/Reply dialog. For reasons best known to WordPress, you are required to create a URL through the use of the link (chain) icon.