For bbcode(the forums) you make a link like this(when making your own, don't use the spaces.)
[ u r l ]website adress here[ / u r l ]
Example: Link
Now for HTML(Your personal comment and sig) it's like this(once again...no spaces...)
< a href=website adress here >(Your text here.)
Example:
www.cheathappens.com>CHEATHAPPENS