The link icon at the top is for inserting an hyperlink into existing text. So you highlight the text, click the icon and enter the URL.

Another option is to use the IFCode shortcuts at the left when typing your reply.

Choose the url one and enter it like this:

[ url = yoururlgoeshere] your text goes here [ / url ] (remove spaces)

Check out this example!

To view the code behind the example, hit the quote button on my reply.