Let's see if I can describe the steps clearly for you. ETA: I already had to add a couple things, sheesh!
1. Select, and copy, the URL you wish to link.
2. Write your post - or in this case, your signature text.
3. Select the word or words in the post that you want to turn into the link.
4. Click on the little icon above the posting window that has a disc (world) and two chain links.
5. You will then see a little box with a space for your actual URL, which you then paste in there. It's important to remove the http:// that is already in that box, and highlighted, UNLESS your URL doesn't come with that code. But usually, you delete that bit first. If you do not, your link will not work correctly.
Hope that helps! Took me freakin forever to learn how to do that and now it is on auto pilot, so describing the steps? Heh.