Make sure you have scripted windows enabled on your browser. If you're using Internet Explorer, there should be a bar that pops down saying "This website is using a scripted window to ask for information, do you trust it?" If you right click on that bar and select "Temporarily allow scripted windows" then retry, you should get a little popup window where you can insert the link.
Alternatively, you can simply code the link using BBCode. Here's a sample:
Code:
[url=mysiteurl.com]My Site[/url]//For links
[img]myimgurl.jpg[/img] //For pictures
[youtube]www.youtube.com/myvideourl[/youtube] //For YouTube vids
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"Yeah, so this one time, I tried playing poker with tarot cards... got a full house, and about four people died." ~ Unknown comedian
Happy New Year from WP's resident fortune-teller! May the cards be ever in your favor.