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That's how you do it ... although it's not always blue highlighting ... it's green or black for me, so I think it depends on your settings, I guess.
For any of you don't know how this works: First highlight any word ... hold down your left click while you drag your mouse over the word, just as if you were going to copy it. Then click on the "insert link" button at the top of your message window (it looks like a globe with a chain link) and paste the URL in the box that comes up and cliick OK. That should do it.
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