I need help with linking stuff on this site. Read the details below?

Okay I’m like totally computer illiterate so this may actually be simple but I just can’t figure this out.
I see members here often give a link to something that has their own words in it. Example, “Check this out”. When you click on “out” it leads you somewhere.
How the hell do you do it? I’ve looked at the part of the FAQ that explains it, countless times, and I just don’t know what it’s talking about. Any help?