If you right-click while hovering on a link, one of the options on the "drop down" should be "copy shortcut." If you just right-click "somewhere on the page" you just get a bunch of options - including "create a link."
If I point to the "Forum Home" link that appears above the Reply to Thread box where I'm typing now, and right click, select Copy Link, and then come back to the input box and "Paste" (I use Ctl-V to paste), what gets pasted is:
http://www.mudcat.org/threads.cfm
That's NOT A LINK, so the "Copy Link" should really say "copy the URL for the link" - but, if I use the copied URL, I can make the link:
which will look like Forum Home when I submit this post.
[Of course, Joe Offer will beat me upon my peripheral body parts if I use the full URL instead of a "local link" for linking stuff on mudcat from on mudcat, so I'd shorten the URL to something like:
<a href="/threads.cfm">Forum Home</a>
if I could.]
{Since "Forum Home" is a "top level address" at mudcat, a LOCAL LINK TO IT WON"T WORK, so I won't do that here. Don't worry about it if this paragraph makes no sense.}
Your mileage may vary, especially if you're using an odd browser etc., but the key is that to copy a link using right-click you have to pointing at the link you want to copy when you do the right click. Maybe.