Since your new to WordPress, I will not yell at you for calling it "word press".
Make sure you have the right URL. In order to insert a link, select the test you want to be a link, then click the button that looks like a single link of chain (Alt+Shift+A). A window should appear and ask to to insert/edit the link. When you paste in the url or write it make sure it's the same as the of the page you want it to point to, i.e. no
http://http://example.com. At this point don't worry about the title, class, or target, and click insert. The visual editor should make the link blue with an underline, but it will not work when clicked because it's only for show. Then Preview the post and click on the link or check it after you've published the post, then link will work when not inset the editor and actually on the web page.
If something is still wrong with it, please post back here with the URL of the post with the link in question. It's hard to say what the real problem is, since I only have limited information about it. What URL did you want the link to point to and what URL did it take you to, or did the link not appear?