When you're in the post editing page, roll your mouse over the button below the smiley face at the top of the edit control. It should look like a globe with a link from a chain. If you rolled over the right button it will pop up the words "Insert Link". Before you click it, highlight the text you want underlined as the link. Click the button, and a dialog box will pop up to enter the URL. Enter the URL and click ok. It will insert the link for you.