This works in Internet Explorer.
When you're reading the thread you want to copy, point at the "Address" bar and right click. The URL in the address bar will be highlighted. From the context sensitive menu that appears select "Copy".
The URL is now on your clipboard
When you are creating the post in the thread you want to copy to, put the cursor at the point where you want the URL and right click. From the context sensitive menu that appears select "Paste".
Bob's your Uncle.
You knew that all along now, didn't you?