Use the "http://" button in the message editor.
First you can (optionaly) input some text such as "this is the page" and then input the so-called "URL" with all its slashes, as you say.
This is best done though copying and pasting.
Assuming the address you want is that of a web page, you can select the address in the address window of your browser then copy with CTRL-C or right-mouse click and "copy text" or, if you have a link on a web page, right-click on it and select "copy link adddres" or something like that.
Once the link is copied, you can paste it with either CTRL-V or Edit/Paste from the menubar of your browser
Hope this helps