To make a link in a comment you can use the [text](url) syntax. (And, of course, you can use simply a bare URL - but I assume you want something nicer. Having some description of a link is useful for the users reading the comment, too.) The same syntax is possible in posts. (Although in posts there are other possibilities how to use links. Moreover, when composing or editing a post, you can insert a link using the built-in editor.)
(As pointed out by LSpice, MO links are usually expanded in a post to full title - so putting just https://meta.mathoverflow.net/q/5410 in a postspost renders like this: Hyperlink in a comment?. However, this is not true for external links - and in the comments the link to MO posts are not changed in this way either. Comments have some special links callcalled magic links such as [mathoverflow.se], [so], etc - they are expanded to a link with the full title of the site.)
However, simply by removing the parts with <cite...> and </cite> yields a result which IMO looks acceptable in a comment.
