Linking

Hello

I know this might seem basic but i am having problems linking to different sites on my blog. I have never had problems doing this with wordpress before.

When i want to link something i have been highlighting it and then entering the URL into the pop up box. The link then turns purple but when i go back to the article there is no link. Is there something i need to do in order to link things?

Any help would be much appreciated.

Thanks