Well first of all welcome to staff.
The way you make a link like that is as follows:
1. Type what you want to say eg "How to use the forum".
2. Highlight those words with your mouse and press the "Insert Link" button which looks like this:
.
3. Copy and paste the URL of the thread you want to link to.
4. Press ok and voila: You have your link.
I generally find it helps if you make the link a different colour to the rest of your message or else people can often miss them.
I hope this helps, don't hesitate to ask if I was unclear.