Yahoo! Mail automatically turns URLs you type, like http://www.yahoo.com, and email addresses like example_email@yahoo.com, into links. You don't need to do anything to make an email or a web address into a link. Some email programs—very few—won't display these as links, and users of these programs will simply have to copy what you've typed and paste it into their browser's address bar.
If you're on a PC using Internet Explorer 5.5 or above and are composing in the Color and Graphics mode, there is an "Add a link" button (it looks like an Earth with two chain links in front of it) in the Color and Graphics toolbar that opens a window where you can type a web address. Yahoo! Mail then inserts it into your message as a link.