If you're talking about on here, you have to link the item from Alla itself, otherwise the mouse-over option won't work if you link to (for example) wowhead,etc.
Just search the item you want copy the link to it, and then when you make your post just paste.
If you want the link to be nifty, like this
Random Item, just type whatever the item is (or whatever you want the "word" you're linking on to say), highlight that word, click on the URL button at the top of your reply box (or just type in [link=copiedlink]randomwording[/link], and paste the link in there.