You need to enter the FULL web address (including the 'http' bit at the front).
For example, this won't go red:
www.bbc.co.uk
but this will
http://www.bbc.co.uk/
Most browsers will copy the 'http' bit even when it's not shown in the address bar. For example, to get that red link above, I went to the BBC home page (using another tab), where the URL shown in the address bar of my browser is simply 'www.bbc.co.uk'. (i.e. the 'http' bit isn't shown). I then right-clicked in the address bar, to highlight the address, and selected 'Copy. When I came here, right-clicked and selected 'Paste', the 'http' bit magically appeared.
Also remember that you need either a space or a line break at either end of a link. (If you don't have one AB's server won't be able to see the link properly).