You may not have done the URL properly. On this site you need to use the proper formatting, which is:
(url=copy-and-paste-url-here]Enter the Text you want Displayed in the Comment Here[/url]
^Note that you must replace ( with [ at the beginning. I had to use "(" instead only so you can see the formatting without it turning into a link.
And that's all there is to it! LG has this same formatting, however too many members complained about not being able to remember this (don't know why, it's literally one of the easiest things ever! I think people are just lazy) so the admins there allow naked URLs to be posted in comments as long as they dont distort the page.
