When composing a new post or replying to one, you'll see various icons above the text box you're typing in. You will also notice that the two chain icons (these are the ones for inserting or modifying links) are greyed out.
To insert a link, simply highlight any text you have typed that you want to be the "anchor text" for the link and then you'll find that the link icons are now available to use.
Clicking the inset/edit link will open up a small dialogue box asking you for the link's url (the web page address you are linking to), whether you want the page to open in the same window or a new tab, and a title for the page you are linking to.