I had this very same issue for a very long time, and was too reluctant to ask! Then I did, and got it .. ever so easy!
Type in whatever you want to type .. when you get to the part where you want to enter the link you are refering to, don't copy it in to the reply box! Instead, click on the globe icon wiht the "insert link" and a new window will open up. In there paste your link and click "OK" (make sure you delete the double "http://" that will show-up). Once you press "OK" the link will appear in the main reply window with an area highlighted in blue. Here, type in the word you want to appear .. and there you go!