Highlight it with your mouse and create a hyperlink (usually by right-clicking).
Although it might be different in a blog. Hope it helps
Good luck :o)
Thanks for your help Laura :-)), I've just figured out how to do it accidentally - I tried the highlighting and then right-clicking but nothing happened in Blogger. So, I went to Edit Posts and then highlighted it and noticed in the toolbar that there was a LINK option, which I selected, and then it made the connection!