Stupid Question about a Hyperlink

So, every Dooche-a-Doodle knows how to embed a link into your blog text so that the reader can simply click on the blue hyperlink and be directed towards the relevant site or blog, right?

I see some bloggers embed links when they make comments. It doens't work with me. How the fuck do I do it?

I'm not blonde, I'm just a Plonker.