That's interesting, cos I've always done it slightly differently!
More typing, less link-pointing (I think):
Start with the magic bit [url=
Then paste the copied URL (obtained as SD describes)
Then ]
Then the words you want to appear
Then [ /url] (without the space) to close it.
Hence [ url=http://www.gutsy.org.uk]The G-UTSY website[ /url]
with the spaces after the [ removed
produces
The G-UTSY website