first of all, it works on my mail very nicely. Second, you can actually do the same as in any webpage.
let's assume you want to link to pprune
just put the link in as
http://www.pprune.org
but you can also do it in html style:
<a href=http://www.pprune.org>PPRuNe</a>
and the link is only shown as
PPRuNe