If you want to add a link to your comment, it's really good to make it easy to use. If you first have to copy the link and then paste the address, it's way too complicated, so better learn this very simple, but practical trick.
So only thing you need, is this simple code:<a href="link">text to click on</a>
Here is a sample, I will make a comment to this post and will add this link below there, so you see how it looks, click the link on my comment and you should get back to this post:
<a href="http://blo64rt.blogspot.com/2009/07/how-to-add-link-to-your-comment.html">how to add link</a>