Type a word. Highlight the word. Click the little "link" icon (it looks like an "8") above this little box you're typing in. It's the one next to the photo. Copy and paste the URL you want into the little field that pops up. And you're all set.
Unless you meant chain links.
In which case I'll leave it to one of the experts.
Or you can simply right click on the address bar at the top of the page/site you want to link to, click copy, then right click in the message box when you type a message and click on paste