It's the same as when you add links to a comment...except you have to hand type it in. Suggestion: Write your signature in a comment box so you can use all the little tools right above it, then copy and paste the text into your signature box under Settings.

So to put in a link, click the little Globe right above the text box and go from there

....that's really weird. Delete that submission, then try reuploading it and see if that works. Something might of just goofed. o_O