You can do it one of 2 ways, either:
[url=http://put.yourURL.here]URL text[/url]
or
[url]http://another.url.com/[/url]
I prefer the 1st way because you can write a description of what the URL is.
You also neen to make sure BBCode is enabled. I've disabled it in this post so I can demonstrate the text you need to use.