When you are composing a message, highlight the text you would like to convert into an active link.  (In the example below, this would be the words "CLICK HERE")

Click the "chain link" icon (it's the first icon in the 2d line of menu items in the light blue Rich Text Editor at the top of the message composition box).  

Clicking the chain link icon will open a pop-up box where you can insert the link to be embedded in your highlighted text (as described in the screen shot below).

After pasting (or typing) the web address in the Url field, click OK.

You have now successfully converted your link into an active hyperlink.

(At this point you can resume composing your message and when you are done, click Post Message and you will see your message on the board with your live link inside.)