It may depend on exactly what you use.

• as a workaround note that probably the plain text will copy and paste into a web browser's location bar; that should allow the recipient to find your linked information
• you probably need to use some markup or formatting tool
• as an example note these messages have icons above where you type that are used when including links such as this to ask another question although in these messages ordinary text of a link will still usually display as and work as a link

There is usually a toolbar button in the editor to turn a text link into a clickable hyperlink (look for a chain like button).
You can select the text and click that button to turn the link into a clickable hyperlink.
If you can't find the button then hover them all to check the tooltip of each.

• Make Link - https://addons.mozilla.org/firefox/addon/142

The "chain-like button" is good, but best were if it wouldn't be necessary at all.

As it isn't when I use Gmail, Yahoo mail, or Hotmail in Internet Explorer.

When using those web mail programs in IE, and I paste a URL into my email, they immediately become a hyperlink.

Not a big deal, just a few more mouse clicks in my life, but if IE can do it, have no doubt it's possible in FF, too.

Just don't know how.