First, do you see the link icon? 
If you do, then to create a link, you first need to type the text for the link and then click on that button. That should display a small window where you can enter the link url.
FineScale.com
To create a link using forum code, type {url=http://www.domain.com/}link text{/url} but replace the {} with [] (square brackets).
FineScale.com
You can also use HTML, like this: <a href="http://www.finescale.com">FineScale.com</a> when you use the HTML mode by clicking on the HTML button. 