there''s an icon on the far right above the message box (next to the text ones, like bold, italics, etc...) with the symbol of the world and a chainlink kinda thingy, click on it.
a little screen will pop up, and you can then enter the text you want to show for the link, press enter, then paste the actual link ino the next screen, then press enter, and the whole thing is inserted into your msg.
hope this helps!
you can also enter it manually yourself like snow_happy said too.