Depending on what program you're using, some links may be created automatically. For instance, in Word, if you type any email address (or anything that looks like one) it will be automatically turned into a link. You can tell because it turns blue. The same may be true for web addresses in other programs. Just type it in and see whether it turns blue, or turns blue when selected.
Without knowing what you're using, it's impossible to say specifically, but if the program has that capability, it should be buried in menus like Tools, Options, Preferences, Customize, something like that. Also try Help. The old saw "Help is no help" is usually true, but not allways!