Act like you're going to make a new post...
Click the URL button and go through the motions.
When the link code is in your message, highlight, hit CTRL-C, go into your profile to edit your signature, hit CTRL-V in there to paste the link.
Or, you can click the "UBB Code is enabled" link on the side of the message compose box and you'll be taken to a page that teaches you how to make the links by hand.
