When you write a new post, there is a number of tools displayed at the top. One of them is the "insert link" tool.
If you click it there will be a popup window where you insert the URL, most easily by copying it before writing the post or from another tab.
If you select some text before clicking then that text will become the link.
Like this.
If you don´t the link will be named like the URL. Like this:
http://forum.shrapnelgames.com/forumdisplay.php?f=138
You can also make images into links, like the one in my sig.