I dont actually do it the same way...
I press the litte button on the reply panel of buttons that has a picture of a little world on it.. its called insert hyperlink..
When you press that a little box pops up (if you have allowed scripted windows.. if you havent you get the option to allow it to pop up).
In the box you are then prompted to put the link (URL) to the post you want to link to... the link or URL can be copied and pasted from the address line when you have the post open.
Once that is done you press ok and then it asks what you want to call it.. ie the text that appears in blue that you can click on... and the code for the hyperlink pops into your message window ready to be posted.
Here is a hyperlink to Jenn's question!Have a play with both ways - see what you prefer. I never like messing about with codes and stuff so the button way does it all for you...