There may be some mysterious reason, but it's probably just that you haven't trained your muscle memory to hit the right keys. Since guests can post here, you obviously don't have to have a cookie, and it shouldn't affect a post even if yours is a bit crumbled. Best way to figure it out is to look at one of your own attempts that doesn't work, fugure out what's wrong with it, and then you'll probably remember how (or at least how not the make the same mistake.
If you click (put an x in) the "preview" box, when you hit the Submit button, the "how it will look" will have your clickie - working or not - in it. If you right click on the clicky in the preview box, and "open in new window," you get to test whether it works without losing what you did in the original input box. If the clicky works, close the new window, hit the submit again and post. If it doesn't, go back and see if you can figure out what went wrong.
Note: you can "test" as many times as you want if you make sure the preview box is checked each time, and then just delete everything from the input box and try another - and click out (back button or click another link) without posting when you're done if it was just practice.
There also are a couple of "Practice" threads for testing, if you want to study up. If you go ahead and post one there that doesn't work, you'll likely find someone who can look at the source code for what you did and help with what went wrong.
<a href="url">display</a>
url is the address that you usually can copy from the top bar on your browser in the web page you want people to go to.
display is what you want to say in what turns blue.
Just in case, you can use the form:
<a href="url">url</a>
(i.e. just paste the address both places) and usually even if the "clickie" doesn't work the url will be displayed so people can find where you wanted them to go.
A side note - if you type into your word processor and then paste here, sometimes "curly quotes" (.". ".)are not recognized by html processors. You should use "straight quotes" in html.