If the URL is simple and short, you can just paste it into a comment and WordPress will automatically turn it into a link. For longer URLs, or to attach the URL to a word, you need to write a small bit of HTML code. It is very easy. For example, if you type this into a comment:
Please see <a href="http://www.trivisonno.com">this page</a>.
…it will come out like this:
Please see this page.
So, in the example above, replace http://www.trivisonno.com with your URL, and you can change the words “Please see” and “this page”.
<a href="blahblahblah"> tells the browser what the link is, and the
</a> tells it what text to use for the link.
The “a” stands for “anchor” and you can read more about the HTML anchor tag here.