To make a link in a comment user the [text](url) syntax. (And, of course, you can use simply 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.)
For example, the following syntax works both in a post and in comments:
Link to a question on meta: [Hyperlink in a comment?](https://meta.mathoverflow.net/q/5410) This looks probably slightly better than a bare URL: https://meta.mathoverflow.net/q/5410
Link to a question on meta: Hyperlink in a comment? This looks probably slightly better than a bare URL: Hyperlink in a comment?
In the first comment under this post you can see how this looks in a comment.
See also:
- Help center: How do I format my posts using Markdown or HTML? - specifically the section "Comment formatting"
- Inline links in comments (Meta Stack Exchange)
- How do you cite a reference in a comment? and other posts linked there (Mathematics Meta)
- How do comments work? (Meta Stack Exchange) - the section "How can I format and link in comments?"