Without using the RTE, as I remember, you do this I think:
<a href="the link you want">the text you want</a>
Though if you're lazy like me and use the RTE for posting on the forums, there's a button near the Background Color button called "link" which lets you put in a link which then makes it clicky.
Doesn't make it fancy though since its the actual address rather than putting it in neater text form, but it works.