You have to use various "tags". When I create a link on the board, I use 3 sets of tags, which are contained within square brackets: URL, COLOR, and U (I cannot show them within the square brackets within this paragraph, or the board would process them as actual tags).The URL tag establishes the link, the COLOR tag to makes it blue, and the U tag for an underline. All the tags have a corresponding closing tag, such as [/u], [/color], and [/url] (I can put these within their square bracket containers as they are closing tags, and there were no opening tags).
So, if I wanted to create a link to wnff.net, so that the text appears as blue and underlined, I would enter the following:
[url=http://www.wnff.net][color=blue][u]WNFF or whatever text you desire to appear[/u][/color][/url]
The tags are case insensitive.